FORECASTING VOLATILITY WITH THE MULTIFRACTAL RANDOM WALK MODEL
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Publication:4906541
DOI10.1111/j.1467-9965.2010.00458.xzbMath1279.60051arXiv0801.4220OpenAlexW2100754476MaRDI QIDQ4906541
Vincent Vargas, Raoul Robert, Jean Duchon
Publication date: 28 February 2013
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0801.4220
Inference from stochastic processes and prediction (62M20) Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stochastic models in economics (91B70) Random measures (60G57) Prediction theory (aspects of stochastic processes) (60G25)
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