Stochastic volatility, power laws and long memory

DOI10.1080/713665999zbMATH Open1405.91720OpenAlexW2109679187MaRDI QIDQ4646508

Benoît B. Mandelbrot

Publication date: 14 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/713665999

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Financial applications of other theories (91G80) Fractals (28A80)

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