Continuous cascade models for asset returns
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Publication:844574
DOI10.1016/J.JEDC.2007.01.024zbMATH Open1181.91338OpenAlexW1993817335MaRDI QIDQ844574FDOQ844574
A. Kozhemyak, Jean-François Muzy, Emmanuel Bacry
Publication date: 19 January 2010
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2007.01.024
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stochastic volatilityGMM estimationrandom cascadesasset return fluctuationsmulti-fractalsvalue at risk forecastsvolatility forecasts
Statistical methods; risk measures (91G70) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Interest rates, asset pricing, etc. (stochastic models) (91G30)
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Cited In (29)
- Log-normal continuous cascade model of asset returns: aggregation properties and estimation
- Do `complex' financial models really lead to complex dynamics? Agent-based models and multifractality
- Gaussian multiplicative chaos and applications: a review
- Multifractal processes: definition, properties and new examples
- Towards rigorous analysis of the Levitov–Mirlin–Evers recursion
- Multifractal value at risk model
- The multifractal random walk as pathwise stochastic integral: construction and simulation
- Gaussian multiplicative chaos revisited
- Modeling and forecasting persistent financial durations
- Construction of multifractal fractional random walks with Hurst index smaller than \(1/2\)
- Forecasting value-at-risk in turbulent stock markets via the local regularity of the price process
- Intermittent process analysis with scattering moments
- Universal features of price formation in financial markets: perspectives from deep learning
- Forecasting multifractal volatility
- Statistical tests of distributional scaling properties for financial return series
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- BOUNDS ON THE SUPPORT OF THE MULTIFRACTAL SPECTRUM OF STOCHASTIC PROCESSES
- Testing the type of a semi-martingale: Itō against multifractal
- Convergence of complex multiplicative cascades
- On the estimation of the large deviations spectrum
- Counting function fluctuations and extreme value threshold in multifractal patterns: the case study of an ideal \(1/f\) noise
- Quadratic Hawkes processes for financial prices
- Gaussian multiplicative chaos for symmetric isotropic matrices
- Emergence of turbulent epochs in oil prices
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