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Continuous cascade models for asset returns

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  • Bacry, E.
  • Kozhemyak, A.
  • Muzy, Jean-Francois

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  • Bacry, E. & Kozhemyak, A. & Muzy, Jean-Francois, 2008. "Continuous cascade models for asset returns," Journal of Economic Dynamics and Control, Elsevier, vol. 32(1), pages 156-199, January.
  • Handle: RePEc:eee:dyncon:v:32:y:2008:i:1:p:156-199
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    1. repec:taf:emetrv:v:36:y:2017:i:10:p:1081-1110 is not listed on IDEAS
    2. Morales, Raffaello & Di Matteo, T. & Aste, Tomaso, 2013. "Non-stationary multifractality in stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(24), pages 6470-6483.
    3. Filip Žikeš & Jozef Baruník & Nikhil Shenai, 2017. "Modeling and forecasting persistent financial durations," Econometric Reviews, Taylor & Francis Journals, vol. 36(10), pages 1081-1110, November.
    4. Rypdal, Martin & Løvsletten, Ola, 2013. "Modeling electricity spot prices using mean-reverting multifractal processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(1), pages 194-207.
    5. M. Rypdal & O. L{o}vsletten, 2011. "Multifractal modeling of short-term interest rates," Papers 1111.5265, arXiv.org.
    6. Justin Sirignano & Rama Cont, 2018. "Universal features of price formation in financial markets: perspectives from Deep Learning," Papers 1803.06917, arXiv.org.
    7. Antonio Doria, Francisco, 2011. "J.B. Rosser Jr. , Handbook of Research on Complexity, Edward Elgar, Cheltenham, UK--Northampton, MA, USA (2009) 436 + viii pp., index, ISBN 978 1 84542 089 5 (cased)," Journal of Economic Behavior & Organization, Elsevier, vol. 78(1-2), pages 196-204, April.
    8. Caraiani, Petre & Haven, Emmanuel, 2015. "Evidence of multifractality from CEE exchange rates against Euro," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 395-407.
    9. Malo, Pekka, 2009. "Modeling electricity spot and futures price dependence: A multifrequency approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(22), pages 4763-4779.
    10. Lee, Hojin & Song, Jae Wook & Chang, Woojin, 2016. "Multifractal Value at Risk model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 451(C), pages 113-122.
    11. Troy Tassier, 2013. "Handbook of Research on Complexity, by J. Barkley Rosser, Jr. and Edward Elgar," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 39(1), pages 132-133.
    12. Thomas Lux, 2009. "Applications of Statistical Physics in Finance and Economics," Chapters,in: Handbook of Research on Complexity, chapter 9 Edward Elgar Publishing.
    13. Segnon, Mawuli & Lux, Thomas, 2013. "Multifractal models in finance: Their origin, properties, and applications," Kiel Working Papers 1860, Kiel Institute for the World Economy (IfW).
    14. Lux, Thomas, 2008. "Applications of statistical physics in finance and economics," Kiel Working Papers 1425, Kiel Institute for the World Economy (IfW).
    15. Martin Rypdal & Ola L{o}vsletten, 2012. "Modeling electricity spot prices using mean-reverting multifractal processes," Papers 1201.6137, arXiv.org.
    16. Jochen Heberle & Cristina Sattarhoff, 2017. "A Fast Algorithm for the Computation of HAC Covariance Matrix Estimators," Econometrics, MDPI, Open Access Journal, vol. 5(1), pages 1-16, January.

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