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Fractals and Intrinsic Time - a Challenge to Econometricians

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

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

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  1. Eric Ghysels & Christian Gouriéroux & Joanna Jasiak, 1995. "Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets," CIRANO Working Papers 95s-42, CIRANO. [Downloadable!]
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  2. Marcelo Fernandes & Marcelo Cunha Medeiros & MArcelo Scharth, 2007. "Modeling and predicting the CBOE market volatility index," Textos para discussão 548, Department of Economics PUC-Rio (Brazil). [Downloadable!]
  3. Vuorenmaa , Tommi, 2005. "A wavelet analysis of scaling laws and long-memory in stock market volatility," Research Discussion Papers 27/2005, Bank of Finland. [Downloadable!]
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