scientific article; zbMATH DE number 2034475

MaRDI QIDQ4445134zbMATH OpenFDO

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

Publication date 28 January 2004

zbMATH Keywords

Gaussian random walk modelmultidimensional student PDFsprobability density functions

Mathematics Subject Classification ID

Economic time series analysis (91B84)

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Cited in

(9)

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

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