FORECASTING VOLATILITY WITH THE MULTIFRACTAL RANDOM WALK MODEL
Author:
Publisher
Wiley
Subject
Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1467-9965.2010.00458.x/fullpdf
Reference13 articles.
1. Multifractal Random Walks;Bacry;Phys. Rev. E,2001
2. Continuous Cascade Models for Asset Returns;Bacry;J. Econ. Dyn. Contl.,2008
3. Log-Infinitely Divisible Multifractal Process;Bacry;Commun. Math. Phys.,2003
4. Gaussian Measures
5. Leverage Effect in Financial Markets: The Retarded Volatility Model;Bouchaud;Phys. Rev. Lett.,2001
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