The correlation dimension of returns with stochastic volatility
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Publication:4647595
DOI10.1088/1469-7688/4/1/004zbMATH Open1405.91704OpenAlexW1996053280MaRDI QIDQ4647595FDOQ4647595
Authors:
Publication date: 15 January 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1088/1469-7688/4/1/004
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Cites Work
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- Stochastic volatility as a simple generator of apparent financial power laws and long memory
- Entropy and predictability of stock market returns.
- Finite correlation dimension for stochastic systems with power-law spectra
- Turbulence in financial markets: the surprising explanatory power of simple cascade models
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- The reconstruction theorem for endomorphisms
- Curved Chaotic Map Time Series Models and Their Stochastic Reversals
Cited In (6)
- Title not available (Why is that?)
- Correlated squared returns
- The Euro/Dollar exchange rate: chaotic or non-chaotic? A continuous time model with heterogeneous beliefs
- Nonlinear complexity behaviors of agent-based 3D Potts financial dynamics with random environments
- Multiple time scales in volatility and leverage correlations: a stochastic volatility model
- Overlaying time scales in financial volatility data
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