Continuous cascade models for asset returns
From MaRDI portal
Publication:844574
DOI10.1016/j.jedc.2007.01.024zbMath1181.91338MaRDI 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 volatility; random cascades; GMM estimation; asset return fluctuations; multi-fractals; value at risk forecasts; volatility forecasts
91G70: Statistical methods; risk measures
91-02: Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance
91G30: Interest rates, asset pricing, etc. (stochastic models)
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