Continuous cascade models for asset returns

DOI10.1016/J.JEDC.2007.01.024MaRDI QIDQ844574zbMATH OpenOpenAlexFDO

Authors 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

zbMATH Keywords

stochastic volatilityGMM estimationrandom cascadesasset return fluctuationsmulti-fractalsvalue at risk forecastsvolatility forecasts

Mathematics Subject Classification ID

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

(31)

• 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
• Multifractal value at risk model
• The multifractal random walk as pathwise stochastic integral: construction and simulation
• Gaussian multiplicative chaos revisited
• Construction of multifractal fractional random walks with Hurst index smaller than \(1/2\)
• Modeling and forecasting persistent financial durations
• Forecasting value-at-risk in turbulent stock markets via the local regularity of the price process
• Towards rigorous analysis of the Levitov-Mirlin-Evers recursion
• 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
• Hydrodynamic turbulence and intermittent random fields
• Multifractal analysis of Gaussian multiplicative chaos and applications
• Detecting multifractal stochastic processes under heavy-tailed effects
• Lognormal \(\star\)-scale invariant random measures
• TheKolmogorov Legacy in Physics
• BOUNDS ON THE SUPPORT OF THE MULTIFRACTAL SPECTRUM OF STOCHASTIC PROCESSES
• Modelling financial time series using multifractal random walks
• Convergence of complex multiplicative cascades
• On the estimation of the large deviations spectrum
• Testing the type of a semi-martingale: Itō against multifractal
• Counting function fluctuations and extreme value threshold in multifractal patterns: the case study of an ideal \(1/f\) noise
• The stress-dependent random walk
• Forecasting volatility with the multifractal random walk model
• Quadratic Hawkes processes for financial prices
• Gaussian multiplicative chaos for symmetric isotropic matrices
• Emergence of turbulent epochs in oil prices

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