Scaling and Multiscaling in Financial Series: A Simple Model
From MaRDI portal
Publication:4906506
DOI10.1239/aap/1354716588zbMath1271.91054arXiv1006.0155MaRDI QIDQ4906506
Alessandro Andreoli, Francesco Caravenna, Paolo Dai Pra, Gustavo Posta
Publication date: 28 February 2013
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1006.0155
stochastic volatility; multiscaling; scaling; shocks; heavy tail; multifractal model; financial index
91G70: Statistical methods; risk measures
91B84: Economic time series analysis
60H30: Applications of stochastic analysis (to PDEs, etc.)
91B82: Statistical methods; economic indices and measures
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