Multi-scaling of moments in stochastic volatility models-Reference-Cited by-同舟云学术

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Multi-scaling of moments in stochastic volatility models

Published:2015-10 Issue:10 Volume:125 Page:3725-3747
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Dai Pra P.,Pigato P.

Publisher

Elsevier BV

Subject

Applied Mathematics,Modelling and Simulation,Statistics and Probability

Reference22 articles.

1. Scaling and multiscaling in financial series: a simple model;Andreoli;Adv. Appl. Probab.,2012

2. Lévy Processes, Vol. 121;Bertoin,1998

3. M. Bonino, M. Camelia, P. Pigato, A multivariate model for financial indexes and an algorithm for detection of jumps in the volatility, 2014. ArXiv Preprint, arXiv:1404.7632.

4. Forecasting multifractal volatility;Calvet;J. Econometrics,2001

5. Multifractal Volatility;Calvet,2008

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. The asymptotic smile of a multiscaling stochastic volatility model;Stochastic Processes and their Applications;2018-03

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