Extreme Risk and Fractal Regularity in Finance

DOI10.1090/CONM/601/11933zbMath1321.91119OpenAlexW4211056201WikidataQ56609280 ScholiaQ56609280MaRDI QIDQ2949961

Laurent E. Calvet, Adlai J. Fisher

Publication date: 5 October 2015

Published in: Fractal Geometry and Dynamical Systems in Pure and Applied Mathematics II (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/conm/601/11933

zbMATH Keywords

multifractal analysisextreme risks

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Statistical methods; risk measures (91G70) Fractional processes, including fractional Brownian motion (60G22) Markov processes: estimation; hidden Markov models (62M05) Financial applications of other theories (91G80) Self-similar stochastic processes (60G18) Fractals (28A80)

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