From rough to multifractal volatility: the log S-fBm model
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Publication:2170609
DOI10.1016/j.physa.2022.127919OpenAlexW4221149496MaRDI QIDQ2170609
Peng Wu, Emmanuel Bacry, Jean-François Muzy
Publication date: 6 September 2022
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2201.09516
fractional Brownian motionGMM estimationrough volatilitymultifractal volatilityintermittency coefficient
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