Memory effect and multifractality of cross-correlations in financial markets
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References listed on IDEAS
- Kai Detlefsen & Giacomo Scandolo, 2005. "Conditional and dynamic convex risk measures," Finance and Stochastics, Springer, vol. 9(4), pages 539-561, October.
- Freddy Delbaen & Shige Peng & Emanuela Rosazza Gianin, 2008. "Representation of the penalty term of dynamic concave utilities," Papers 0802.1121, arXiv.org, revised Dec 2009.
- Kai Detlefsen & Giacomo Scandolo, 2005. "Conditional and Dynamic Convex Risk Measures," SFB 649 Discussion Papers SFB649DP2005-006, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Roorda, Berend & Schumacher, J.M., 2007. "Time consistency conditions for acceptability measures, with an application to Tail Value at Risk," Insurance: Mathematics and Economics, Elsevier, vol. 40(2), pages 209-230, March.
- Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-05-08 (All new papers)
- NEP-FMK-2010-05-08 (Financial Markets)
- NEP-RMG-2010-05-08 (Risk Management)
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