Log-normal continuous cascade model of asset returns: aggregation properties and estimation
DOI10.1080/14697688.2011.647411zbMath1281.91127OpenAlexW2156080814MaRDI QIDQ5397418
A. Kozhemyak, Jean-François Muzy, Emmanuel Bacry
Publication date: 20 February 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2011.647411
stochastic volatilityfractalsstatistical methodseconophysicsheteroskedasticityvolatility modellingmultifractal model of asset returnsempirical time series analysis
Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Sums of independent random variables; random walks (60G50) Stochastic models in economics (91B70) Financial applications of other theories (91G80) Fractals (28A80)
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