Continuous cascade models for asset returns
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Publication:844574
DOI10.1016/j.jedc.2007.01.024zbMath1181.91338OpenAlexW1993817335MaRDI QIDQ844574
A. Kozhemyak, Jean-François Muzy, Emmanuel Bacry
Publication date: 19 January 2010
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2007.01.024
stochastic volatilityrandom cascadesGMM estimationasset 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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