Multifractal Models in Finance: Their Origin, Propterties, and Applications
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KeywordsMultifractal processes; random measures; stochastic volatility; forecasting;
All these keywords.
- C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
- F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ECM-2013-08-23 (Econometrics)
- NEP-FOR-2013-08-23 (Forecasting)
- NEP-ORE-2013-08-23 (Operations Research)
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