Continuous-Time Skewed Multifractal Processes as a Model for Financial Returns
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Publication:2897157
DOI10.1239/jap/1339878800zbMath1253.60054OpenAlexW2148090803MaRDI QIDQ2897157
Laurent Duvernet, Jean-François Muzy, Emmanuel Bacry
Publication date: 8 July 2012
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.jap/1339878800
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Related Items (6)
Quadratic Hawkes processes for financial prices ⋮ From rough to multifractal volatility: the log S-fBm model ⋮ The multifractal random walk as pathwise stochastic integral: construction and simulation ⋮ Measuring multiscaling in financial time-series ⋮ On the interplay between multiscaling and stock dependence ⋮ On a skewed and multifractal unidimensional random field, as a probabilistic representation of Kolmogorov's views on turbulence
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