Assessing market uncertainty by means of a time-varying intermittency parameter for asset price fluctuations

DOI10.1016/j.physa.2013.02.010zbMath1402.91162arXiv1202.4877OpenAlexW2043950165MaRDI QIDQ1673056

Kristoffer Rypdal, Espen Sirnes, Martin Rypdal, Ola Løvsletten

Publication date: 11 September 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1202.4877

zbMATH Keywords

maximum likelihoodhigh-frequency datamultifractalcredit spreadintraday

Mathematics Subject Classification ID

Stochastic models in economics (91B70)

Cites Work

• Multifractal analysis of Hang Seng index in Hong Kong stock market
• Fractal measures and their singularities: The characterization of strange sets
• Modelling financial time series using multifractal random walks
• Predictability of multifractal analysis of Hang Seng stock index in Hong Kong