On the interplay between multiscaling and stock dependence

DOI10.1080/14697688.2019.1645345zbMath1431.91376arXiv1802.01113OpenAlexW2969782567WikidataQ105593090 ScholiaQ105593090MaRDI QIDQ5215444

No author found.

Publication date: 10 February 2020

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

Full work available at URL: https://arxiv.org/abs/1802.01113

zbMATH Keywords

multiscalingdependencemultivariate propertiesunivariate properties

Mathematics Subject Classification ID

Sampling theory, sample surveys (62D05) Financial markets (91G15)

Related Items (2)

A risk measure of the stock market that is based on multifractality ⋮ Equity premium prediction: taking into account the role of long, even asymmetric, swings in stock market behavior

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Measuring multiscaling in financial time-series
• Log-infinitely divisible multifractal processes
• Scaling behaviors in differently developed markets
• Continuous-Time Skewed Multifractal Processes as a Model for Financial Returns
• Multi-scaling in finance
• MULTIFRACTALITY AND LONG-RANGE DEPENDENCE OF ASSET RETURNS: THE SCALING BEHAVIOR OF THE MARKOV-SWITCHING MULTIFRACTAL MODEL WITH LOGNORMAL VOLATILITY COMPONENTS
• What Is Kurtosis?: An Influence Function Approach
• Multifractal returns and hierarchical portfolio theory
• PARTIAL CORRELATION AND CONDITIONAL CORRELATION AS MEASURES OF CONDITIONAL INDEPENDENCE
• Kurtosis as Peakedness, 1905–2014.R.I.P.
• Modelling financial time series using multifractal random walks

This page was built for publication: On the interplay between multiscaling and stock dependence