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Fractals and Intrinsic Time - a Challenge to Econometricians

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  • U. A. Muller
  • M. M. Dacorogna
  • R. D. Dave
  • O. V. Pictet
  • R. B. Olsen
  • J.R. Ward

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File URL: http://www.olsen.ch/research/302_realTimeEconometr10.93.ps.zip
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Bibliographic Info

Paper provided by Olsen and Associates in its series Working Papers with number 1993-08-16.

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Handle: RePEc:wop:olaswp:_009

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Citations

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Taylor Effect and Empirical Scaling Law :: Rmetrics
    by Mahalanobis in Mahalanobis on 2006-10-21 23:19:00
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Cited by:
  1. Louzis, Dimitrios P. & Xanthopoulos-Sisinis, Spyros & Refenes, Apostolos P., 2011. "Are realized volatility models good candidates for alternative Value at Risk prediction strategies?," MPRA Paper 30364, University Library of Munich, Germany.
  2. Fulvio Corsi, 2009. "A Simple Approximate Long-Memory Model of Realized Volatility," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 7(2), pages 174-196, Spring.
  3. Emanuel Derman, 2002. "The Perception of Time, Risk and Return During Periods of Speculation," Papers cond-mat/0201345, arXiv.org.
  4. Danilo Delpini & Giacomo Bormetti, 2012. "Stochastic Volatility with Heterogeneous Time Scales," Papers 1206.0026, arXiv.org, revised Apr 2013.
  5. Eric Ghysels & Christian Gouriéroux & Joanna Jasiak, 1995. "Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets," CIRANO Working Papers 95s-42, CIRANO.
  6. Vuorenmaa , Tommi, 2005. "A wavelet analysis of scaling laws and long-memory in stock market volatility," Research Discussion Papers 27/2005, Bank of Finland.
  7. Wang, Yudong & Wu, Chongfeng & Wei, Yu, 2011. "Can GARCH-class models capture long memory in WTI crude oil markets?," Economic Modelling, Elsevier, vol. 28(3), pages 921-927, May.
  8. Wang, Jianxin & Yang, Minxian, 2009. "Asymmetric volatility in the foreign exchange markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(4), pages 597-615, October.
  9. Bianchi, Sergio, 2004. "A new distribution-based test of self-similarity," MPRA Paper 16640, University Library of Munich, Germany.

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