Extreme values and fat tails of multifractal fluctuations
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Publication:2903701
DOI10.1103/PhysRevE.73.066114zbMath1244.82026arXivcond-mat/0509357WikidataQ51935400 ScholiaQ51935400MaRDI QIDQ2903701
A. Kozhemyak, Jean-François Muzy, Emmanuel Bacry
Publication date: 12 August 2012
Published in: Physical Review E (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/cond-mat/0509357
Statistical methods; risk measures (91G70) Statistics of extreme values; tail inference (62G32) Stochastic methods applied to problems in equilibrium statistical mechanics (82B31)
Related Items (7)
Multifractal analysis in a mixed asymptotic framework ⋮ Continuous multifractal models with zero values: a continuous $\beta $ -multifractal model ⋮ Asymmetric Lévy flights in nonhomogeneous environments ⋮ Log-normal continuous cascade model of asset returns: aggregation properties and estimation ⋮ Linearization effect in multifractal analysis: insights from the random energy model ⋮ Confidence intervals for the scaling function of multifractal random walks ⋮ Extreme value problems in random matrix theory and other disordered systems
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