Non-homogeneous volatility correlations in the bivariate multifractal model
Ruipeng Liu and Thomas Lux
| Year of publication: |
2015
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|---|---|
| Authors: | Liu, Ruipeng ; Lux, Thomas |
| Published in: |
The European journal of finance. - Abingdon, Oxon : Routledge, Taylor & Francis Group, ISSN 1351-847X, ZDB-ID 1282412-4. - Vol. 21.2015, 10/12, p. 971-991
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| Subject: | long memory | multifractal models | simulation-based inference | value-at-risk | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Theorie | Theory | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Korrelation | Correlation | Simulation | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011301954