scientific article; zbMATH DE number 2034475

zbMATH Open1067.91029MaRDI QIDQ4445134FDOQ4445134

Authors: Mikhail I. Krivoruchenko, E. Alessio, V. Frappietro, L. J. Streckert 

Publication date: 28 January 2004

Title of this publication is not available (Why is that?)

Recommendations

• Multivariate distribution of returns in financial time series
• Volatility in financial markets: Stochastic models and empirical results
• A STOCHASTIC MODEL FOR MULTIFRACTAL BEHAVIOR OF STOCK PRICES
• Probability distribution of returns in the Heston model with stochastic volatility
• Modelling financial time series using multifractal random walks

zbMATH Keywords

probability density functionsGaussian random walk modelmultidimensional student PDFs

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Cited In (9)

• A new measure between sets of probability distributions with applications to erratic financial behavior
• The correlation dimension of returns with stochastic volatility
• Statistical regularities in the return intervals of volatility
• Multivariate distribution of returns in financial time series
• Exact probability distribution function for the volatility of cumulative production
• A data-dependent approach to modeling volatility in financial time series
• The stress-dependent random walk
• Volatility in financial markets: Stochastic models and empirical results
• Statistical decomposition of volatility

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4445134)