Revisiting the multifractality in stock returns and its modeling implications
From MaRDI portal
Publication:1620210
DOI10.1016/j.physa.2016.09.040zbMath1400.91662MaRDI QIDQ1620210
Publication date: 13 November 2018
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.physa.2016.09.040
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G70: Statistical methods; risk measures
Cites Work
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- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- Long-Term Memory in Stock Market Prices
- Autoregressive Conditional Density Estimation