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Fractals and Intrinsic Time - a Challenge to Econometricians

Author

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

Abstract

No abstract is available for this item.

Suggested Citation

  • U. A. Muller & M. M. Dacorogna & R. D. Dave & O. V. Pictet & R. B. Olsen & J.R. Ward, "undated". "Fractals and Intrinsic Time - a Challenge to Econometricians," Working Papers 1993-08-16, Olsen and Associates.
    • Handle: RePEc:wop:olaswp:_009
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    File URL: http://www.olsen.ch/research/302_realTimeEconometr10.93.ps.zip
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    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 2006-10-22 04:19:00

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    Cited by:

    1. Fulvio Corsi, 2009. "A Simple Approximate Long-Memory Model of Realized Volatility," Journal of Financial Econometrics, Oxford University Press, vol. 7(2), pages 174-196, Spring.
    2. Eric Ghysels & Christian Gouriéroux & Joann Jasiak, 1995. "Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets," CIRANO Working Papers 95s-42, CIRANO.
    3. 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.
    4. 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.
    5. Bianchi, Sergio, 2004. "A new distribution-based test of self-similarity," MPRA Paper 16640, University Library of Munich, Germany.
    6. 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.
    7. Danilo Delpini & Giacomo Bormetti, 2012. "Stochastic Volatility with Heterogeneous Time Scales," Papers 1206.0026, arXiv.org, revised Apr 2013.
    8. Emanuel Derman, 2002. "The Perception of Time, Risk and Return During Periods of Speculation," Papers cond-mat/0201345, arXiv.org.

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