Continuous cascade models for asset returns
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Cites work
- scientific article; zbMATH DE number 1301873 (Why is no real title available?)
- scientific article; zbMATH DE number 614990 (Why is no real title available?)
- scientific article; zbMATH DE number 1091847 (Why is no real title available?)
- scientific article; zbMATH DE number 1368020 (Why is no real title available?)
- scientific article; zbMATH DE number 821171 (Why is no real title available?)
- An extension of a functional equation of Poincaré and Mandelbrot
- Empirical properties of asset returns: stylized facts and statistical issues
- Extremes and related properties of random sequences and processes
- Forecasting multifractal volatility
- Large Sample Properties of Generalized Method of Moments Estimators
- Log-infinitely divisible multifractal processes
- Modeling volatility persistence of speculative returns: a new approach
- Multifractal power law distributions: Negative and critical dimensions and other ``anomalies, explained by a simple example
- Multifractal products of cylindrical pulses
- NEW INSIGHTS INTO THE ESTIMATION OF SCALING EXPONENTS
- On Non-Scale-Invariant Infinitely Divisible Cascades
- Singularity spectrum of fractal signals from wavelet analysis: Exact results
- Statistical estimation for multiplicative cascades.
- Sur certaines martingales de Benoit Mandelbrot
- Theory of Financial Risk and Derivative Pricing
- Turbulence in financial markets: the surprising explanatory power of simple cascade models
- Turbulent cascades: Limitations and a statistical test of the lognormal hypothesis
- Velocity probability density functions of high Reynolds number turbulence
Cited in
(31)- Multifractal analysis of Gaussian multiplicative chaos and applications
- The stress-dependent random walk
- Modelling financial time series using multifractal random walks
- BOUNDS ON THE SUPPORT OF THE MULTIFRACTAL SPECTRUM OF STOCHASTIC PROCESSES
- Towards rigorous analysis of the Levitov-Mirlin-Evers recursion
- Statistical tests of distributional scaling properties for financial return series
- Multifractal processes: definition, properties and new examples
- Intermittent process analysis with scattering moments
- Lognormal \(\star\)-scale invariant random measures
- Testing the type of a semi-martingale: Itō against multifractal
- Hydrodynamic turbulence and intermittent random fields
- Log-normal continuous cascade model of asset returns: aggregation properties and estimation
- Modeling and forecasting persistent financial durations
- Multifractal value at risk model
- Universal features of price formation in financial markets: perspectives from deep learning
- Convergence of complex multiplicative cascades
- Gaussian multiplicative chaos and applications: a review
- Counting function fluctuations and extreme value threshold in multifractal patterns: the case study of an ideal \(1/f\) noise
- Construction of multifractal fractional random walks with Hurst index smaller than \(1/2\)
- Do `complex' financial models really lead to complex dynamics? Agent-based models and multifractality
- On the estimation of the large deviations spectrum
- Forecasting multifractal volatility
- Forecasting value-at-risk in turbulent stock markets via the local regularity of the price process
- The multifractal random walk as pathwise stochastic integral: construction and simulation
- Emergence of turbulent epochs in oil prices
- TheKolmogorov Legacy in Physics
- Gaussian multiplicative chaos for symmetric isotropic matrices
- Detecting multifractal stochastic processes under heavy-tailed effects
- Forecasting volatility with the multifractal random walk model
- Quadratic Hawkes processes for financial prices
- Gaussian multiplicative chaos revisited
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