Forecasting volatility with the multifractal random walk model (Q4906541)
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scientific article; zbMATH DE number 6139593
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| English | Forecasting volatility with the multifractal random walk model |
scientific article; zbMATH DE number 6139593 |
Statements
FORECASTING VOLATILITY WITH THE MULTIFRACTAL RANDOM WALK MODEL (English)
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28 February 2013
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random measures
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Gaussian processes
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prediction theory
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multifractal processes
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0.8032076954841614
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0.775770902633667
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0.7623671889305115
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0.7613890767097473
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0.7471555471420288
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