Stochastic volatility as a simple generator of apparent financial power laws and long memory
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Publication:4646514
DOI10.1088/1469-7688/1/6/304zbMath1405.91716OpenAlexW3121757665MaRDI QIDQ4646514
Publication date: 14 January 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1088/1469-7688/1/6/304
Statistical methods; risk measures (91G70) Financial applications of other theories (91G80) Fractals (28A80)
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