Techniques for multifractal spectrum estimation in financial time series

DOI10.2495/978-1-78466-155-7/009zbMath1411.62298arXiv1610.07028OpenAlexW3122898801MaRDI QIDQ2973751

Jan Korbel, Petr Jizba

Publication date: 5 April 2017

Published in: Complex Systems (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1610.07028

zbMATH Keywords

financial time seriesmultifractal spectrum estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Inference from stochastic processes and spectral analysis (62M15) Fractals (28A80)

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