Log-normal continuous cascade model of asset returns: aggregation properties and estimation

DOI10.1080/14697688.2011.647411zbMath1281.91127OpenAlexW2156080814MaRDI QIDQ5397418

A. Kozhemyak, Jean-François Muzy, Emmanuel Bacry

Publication date: 20 February 2014

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

Full work available at URL: https://doi.org/10.1080/14697688.2011.647411

zbMATH Keywords

stochastic volatilityfractalsstatistical methodseconophysicsheteroskedasticityvolatility modellingmultifractal model of asset returnsempirical time series analysis

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Sums of independent random variables; random walks (60G50) Stochastic models in economics (91B70) Financial applications of other theories (91G80) Fractals (28A80)

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