Pages that link to "Item:Q5947867"
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The following pages link to Modelling financial time series using multifractal random walks (Q5947867):
Displaying 50 items.
- A test of financial time-series data to discriminate among lognormal, Gaussian and square-root random walks (Q333367) (← links)
- Detecting multifractal stochastic processes under heavy-tailed effects (Q339843) (← links)
- On Barnes beta distributions and applications to the maximum distribution of the 2D Gaussian free field (Q343934) (← links)
- Large deviation spectra based on wavelet leaders (Q346654) (← links)
- Modelling NASDAQ series by sparse multifractional Brownian motion (Q430881) (← links)
- Gaussian multiplicative chaos and applications: a review (Q471970) (← links)
- Financial time operator for random walk markets (Q508162) (← links)
- Measuring multiscaling in financial time-series (Q508279) (← links)
- A note on moments of limit log-infinitely divisible stochastic measures of Bacry and Muzy (Q528286) (← links)
- Singularity spectrum of generic \(\alpha \)-Hölder regular functions after time subordination (Q719689) (← links)
- Multifractal regime detecting method for financial time series (Q728164) (← links)
- High values of disorder-generated multifractals and logarithmically correlated processes (Q728404) (← links)
- Mellin transform of the limit lognormal distribution (Q842463) (← links)
- Nonparametric reconstruction of a multifractal function from noisy data (Q843705) (← links)
- Further critique of GARCH/ARMA/VAR/EVT Stochastic-Volatility models and related approaches (Q858848) (← links)
- \(L^p\)-variations for multifractal fractional random walks (Q930681) (← links)
- On the limit lognormal and other limit log-infinitely divisible laws (Q963312) (← links)
- Gaussian multiplicative chaos revisited (Q964779) (← links)
- Functional Feynman-Kac equations for limit lognormal multifractals (Q996850) (← links)
- Hydrodynamic turbulence and intermittent random fields (Q1006309) (← links)
- Confidence intervals for the scaling function of multifractal random walks (Q1017815) (← links)
- Hedged Monte-Carlo: low variance derivative pricing with objective probabilities (Q1591779) (← links)
- Evidence of intermittent cascades from discrete hierarchical dissipation in turbulence (Q1597265) (← links)
- \(p\)-exponent and \(p\)-leaders. II: Multifractal analysis. relations to detrended fluctuation analysis (Q1619240) (← links)
- Multifractal value at risk model (Q1619380) (← links)
- Multifractal methodology (Q1620571) (← links)
- Assessing market uncertainty by means of a time-varying intermittency parameter for asset price fluctuations (Q1673056) (← links)
- A theory of intermittency differentiation of 1D infinitely divisible multiplicative chaos measures (Q1745372) (← links)
- Counting function fluctuations and extreme value threshold in multifractal patterns: the case study of an ideal \(1/f\) noise (Q1938799) (← links)
- Fractional Brownian motion with zero Hurst parameter: a rough volatility viewpoint (Q1990028) (← links)
- Maximum entropy models from phase harmonic covariances (Q2036419) (← links)
- Dynamical fractional and multifractal fields (Q2067202) (← links)
- Fractal and multifractal descriptors restore ergodicity broken by non-Gaussianity in time series (Q2111296) (← links)
- The cross-correlation analysis of multi property of stock markets based on MM-DFA (Q2147706) (← links)
- Variance-mediated multifractal analysis of group participation in chasing a single dangerous prey (Q2149310) (← links)
- The multiplicative chaos of \(H=0\) fractional Brownian fields (Q2170373) (← links)
- From rough to multifractal volatility: the log S-fBm model (Q2170609) (← links)
- Difference based estimators and infill statistics (Q2339214) (← links)
- Multifractal signal reconstruction based on singularity power spectrum (Q2410385) (← links)
- Riemann and Weierstrass walks revisited (Q2422942) (← links)
- Intermittency expansions for limit lognormal multifractals (Q2426698) (← links)
- Estimating the scaling function of multifractal measures and multifractal random walks using ratios (Q2444671) (← links)
- Properties of a simple bilinear stochastic model: Estimation and predictability (Q2482024) (← links)
- Does composite index of NYSE represents chaos in the long time scale? (Q2490223) (← links)
- Diffusion and Fokker-Planck-Smoluchowski equations with generalized memory kernel (Q2517205) (← links)
- Intermittent random fields. I: Fields with symmetric increments (Q2565519) (← links)
- Continuous-time skewed multifractal processes as a model for financial returns (Q2897157) (← links)
- ON THE STOCHASTIC DEPENDENCE STRUCTURE OF THE LIMIT LOGNORMAL PROCESS (Q3007727) (← links)
- BLACK–SCHOLES–MERTON IN RANDOM TIME: A NEW STOCHASTIC VOLATILITY MODEL WITH PATH DEPENDENCE (Q3502982) (← links)
- CONSTANT ELASTICITY OF VARIANCE IN RANDOM TIME: A NEW STOCHASTIC VOLATILITY MODEL WITH PATH DEPENDENCE AND LEVERAGE EFFECT (Q3503117) (← links)
