The correlation dimension of returns with stochastic volatility

DOI10.1088/1469-7688/4/1/004zbMath1405.91704OpenAlexW1996053280MaRDI QIDQ4647595

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Publication date: 15 January 2019

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

Full work available at URL: https://doi.org/10.1088/1469-7688/4/1/004

zbMATH Keywords

stochastic volatilityscalingfinancial returnscorrelation integrals

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

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