Continuous cascade models for asset returns (Q844574)
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scientific article; zbMATH DE number 5660202
| Language | Label | Description | Also known as |
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| default for all languages | No label defined |
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| English | Continuous cascade models for asset returns |
scientific article; zbMATH DE number 5660202 |
Statements
Continuous cascade models for asset returns (English)
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19 January 2010
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asset return fluctuations
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stochastic volatility
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random cascades
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multi-fractals
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GMM estimation
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volatility forecasts
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value at risk forecasts
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0.8692216873168945
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0.785638153553009
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0.7629382610321045
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0.7614241242408752
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0.7484293580055237
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