Estimation of the Stylized Facts of a Stochastic Cascade Model
AbstractWe present a time series model that integrates properties from Levy-type and multifractal models. Formally, it is a stochastic volatility model with discrete time steps, t-distributed return innovations and a stochastic cascade for the volatility process. This model reproduces very well different stylized facts which cannot be reproduced together by other classes of models. We also present an estimation procedure based on the reproduction of stylized facts. This procedure is general and can easily be adapted and/or extended to other models. It may be considered as an extension of the generalized method of moments.
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Bibliographic InfoPaper provided by ULB -- Universite Libre de Bruxelles in its series Working Papers CEB with number 05-009.RS.
Length: 22 p.
Date of creation: 2005
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stochastic cascade; multifractal models; stochastic volatility;
Find related papers by JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G19 - Financial Economics - - General Financial Markets - - - Other
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
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