Stochastic modelling of financial time series with memory and multifractal scaling
|Year of publication:||
Queensland University of Technology
|Subject:||Stock prices | electricity prices | exchange rates | financial stochastic | long-range dependence | short-range dependence | non-Gaussianity | heavy tails | α-stable distribution | fractional stochastic differential equation | Levy noise | the Gauss-Whittle contrast function | multifractal scaling | the continuous-time AR(∞) -type equations | Fisher's discriminant analysis | classification|
|Type of publication:||Book / Working Paper|
|Type of publication (narrower categories):||Thesis|
Snguanyat, Ongorn (2009) Stochastic modelling of financial time series with memory and multifractal scaling. PhD thesis, Queensland University of Technology.
Weron, Rafal, (2007)
Magdziarz, Marcin, (2008)
Beran, Jan, (2002)
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