scientific article; zbMATH DE number 1368020

From MaRDI portal
Publication:4702173

DOI<29::AID-ASM357>3.0.CO;2-Z 10.1002/(SICI)1099-0747(199903)15:1<29::AID-ASM357>3.0.CO;2-ZzbMath0927.62110MaRDI QIDQ4702173

François G. Schmitt, S. Lovejoy, Daniel Schertzer

Publication date: 23 November 1999


Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.



Related Items

Scaling, self-similarity and multifractality in FX markets, PHYSICISTS ATTEMPT TO SCALE THE IVORY TOWERS OF FINANCE, MULTIFRACTAL FLUCTUATIONS IN FINANCE, Econonatology: the physics of the economy in labour, A note on power-law cross-correlated processes, On uses, misuses and potential abuses of fractal analysis in zooplankton behavioral studies: a review, a critique and a few recommendations, An entropical characterization for complex systems becoming out of control, A WAVELET METHOD COUPLED WITH QUASI-SELF-SIMILAR STOCHASTIC PROCESSES FOR TIME SERIES APPROXIMATION, Continuous cascade models for asset returns, Estimation of multifractality based on natural time analysis, Statistical tests of distributional scaling properties for financial return series, Short-term volatility forecasting with kernel support vector regression and Markov switching multifractal model, Detecting multifractal stochastic processes under heavy-tailed effects, Modified multifractal large deviation spectrum based on CID for financial market system, Finite-size effect and the components of multifractality in financial volatility, Lacunarity and multifractal analysis of the large DLA mass distribution, Generalized heat diffusion equations with variable coefficients and their fractalization from the Black-Scholes equation, BLACK–SCHOLES–MERTON IN RANDOM TIME: A NEW STOCHASTIC VOLATILITY MODEL WITH PATH DEPENDENCE, Intermittency expansions for limit lognormal multifractals, Quantifying complexity of financial short-term time series by composite multiscale entropy measure, Forecasting volatility under fractality, regime-switching, long memory and Student-\(t\) innovations, Continuous multifractal models with zero values: a continuous $\beta $ -multifractal model, A semi-parametric approach to risk management, Multifractal nature of stock exchange prices, TOWARDS A MULTIFRACTAL PARADIGM OF STOCHASTIC VOLATILITY?, An introduction to statistical finance, Coarse-graining and self-similarity of price fluctuations, International finance, Lévy distributions, and the econophysics of exchange rates, Fractional Fokker–Planck equation for nonlinear stochastic differential equations driven by non-Gaussian Lévy stable noises, Evidence of Markov properties of high frequency exchange rate data, Invasion-percolation and statistics of US Treasury bonds, Modelling financial time series using multifractal random walks, Self and spurious multi-affinity of ordinary Lévy motion, and pseudo-Gaussian relations, Inhomogeneous scaling behaviors in Malaysian foreign currency exchange rates, Functional Feynman-Kac equations for limit lognormal multifractals, BOUNDS ON THE SUPPORT OF THE MULTIFRACTAL SPECTRUM OF STOCHASTIC PROCESSES, Apparent multifractality of self-similar Lévy processes, EMPIRICAL TESTING OF MULTIFRACTALITY OF FINANCIAL TIME SERIES BASED ON WTMM, Self-averaging phenomenon and multiscaling in Hong Kong stock market, Wavelet transform based multifractal formalism in outlier detection and localisation for financial time series



Cites Work