Continuous-time skewed multifractal processes as a model for financial returns

DOI10.1239/JAP/1339878800zbMATH Open1253.60054OpenAlexW2148090803MaRDI QIDQ2897157FDOQ2897157

Authors: Laurent Duvernet, Emmanuel Bacry, Jean-François Muzy 

Publication date: 8 July 2012

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.jap/1339878800

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zbMATH Keywords

financial dataleverage effectmultifractal processskeweness

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Self-similar stochastic processes (60G18)

Cites Work

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• A CORRELATED STOCHASTIC VOLATILITY MODEL MEASURING LEVERAGE AND OTHER STYLIZED FACTS
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• Forecasting multifractal volatility
• Hydrodynamic turbulence and intermittent random fields
• Log-infinitely divisible multifractal processes
• Theory of Financial Risk and Derivative Pricing
• Multifractal products of cylindrical pulses
• Multifractal Random Walks as Fractional Wiener Integrals
• \(L^p\)-variations for multifractal fractional random walks
• Forecasting volatility with the multifractal random walk model
• Log-normal continuous cascade model of asset returns: aggregation properties and estimation
• Multiple time scales in volatility and leverage correlations: a stochastic volatility model

Cited In (13)

• Intermittent random fields. II: Fields with asymmetric increments
• Log-normal continuous cascade model of asset returns: aggregation properties and estimation
• A multifractal decomposition according to rate of returns
• The multifractal random walk as pathwise stochastic integral: construction and simulation
• The skewed multifractal random walk with applications to option smiles
• Forecasting multifractal volatility
• From rough to multifractal volatility: the log S-fBm model
• On the interplay between multiscaling and stock dependence
• Continuous cascade models for asset returns
• On a skewed and multifractal unidimensional random field, as a probabilistic representation of Kolmogorov's views on turbulence
• Quadratic Hawkes processes for financial prices
• Measuring multiscaling in financial time-series
• Continuous multifractal models with zero values: a continuous \(\beta \) -multifractal model

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