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~person:"Hua, Xiuping"
~person:"Mandelbrot, Benoit"
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Multifractal model of asset returns
3
scaling laws
3
self-affinity
3
self-similarity
3
time deformation
3
Capital income
2
China
2
Kapitaleinkommen
2
asset returns
2
compound stochastic process
2
multiscaling
2
subordinated stochastic process
2
trading time
2
CAPM
1
Chinese currency risk
1
Exchange rate
1
Exchange rate policy
1
Exchange rate regime
1
Exchange rate risk
1
Geldmenge
1
Hedging
1
Money supply
1
Risiko
1
Risikoprämie
1
Risk
1
Risk premium
1
Structural break
1
Strukturbruch
1
Wechselkurs
1
Wechselkurspolitik
1
Wechselkurssystem
1
Währungsrisiko
1
broad money supply
1
compund stochastic process
1
equity risk premium
1
exchange rate regime
1
exchange rate risk
1
foreign-exchange rate risk hedging
1
multifractal process
1
multifractal spectrum
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Hua, Xiuping
Mandelbrot, Benoit
Gürtler, Marc
6
Rauh, Ronald
6
Kugler, Peter
5
Weder, Beatrice
4
Backus, David
3
Calvet, Laurent
3
Caporale, Guglielmo Maria
3
Fisher, Adlai
3
Graddy, Kathryn
3
Julliard, Christian
3
Lee, Jong-Wha
3
Park, Cyn-Young
3
Reimann, Stefan
3
Sousa, Ricardo M.
3
Aguilar, Jean-Philippe
2
Amisano, Gianni
2
Ashenfelter, Orley
2
Avuglah, R. K.
2
Bryzgalova, Svetlana
2
Dedu, Vincent
2
Demir, Ender
2
Epstein, Larry G.
2
Fang, Ming
2
Favilukis, Jack
2
Ferriere, Axelle
2
Geweke, John
2
Gil-Alana, Luis A.
2
Gomes, Fábio A.
2
Gomme, Paul
2
Gupta, Rangan
2
James, Victor
2
Kim, Tae-Hwan
2
Kipp, Martin
2
Koziol, Christian
2
Kreiss, Jens-Peter
2
Liping, WANG
2
Lüders, Erik
2
Manganelli, Simone
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Cowles Foundation for Research in Economics, Yale University
3
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Cowles Foundation Discussion Papers
3
Journal of accounting, auditing & finance : JAAF
1
The European journal of finance
1
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RePEc
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ECONIS (ZBW)
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1
Controlled currency regime and pricing of exchange rate risk : evidence from China
Hua, Xiuping
;
Huang, Wei
;
Jiang, Ying
- In:
Journal of accounting, auditing & finance : JAAF
37
(
2022
)
1
,
pp. 39-76
Persistent link: https://www.econbiz.de/10012794264
Saved in:
2
Impact of exchange rate regime reform on
asset
returns
in China
Hua, Xiuping
;
Sun, Laixiang
;
Wang, Tianyi
- In:
The European journal of finance
21
(
2015
)
1/3
,
pp. 147-171
Persistent link: https://www.econbiz.de/10010519959
Saved in:
3
A Multifractal Model of
Asset
Returns
Mandelbrot, Benoit
;
Fisher, Adlai
;
Calvet, Laurent
-
Cowles Foundation for Research in Economics, Yale University
-
1997
This paper presents the multifractal model of
asset
returns
("MMAR"), based upon the pioneering research into …
Persistent link: https://www.econbiz.de/10005249160
Saved in:
4
Multifractality of Deutschemark/US Dollar Exchange Rates
Fisher, Adlai
;
Calvet, Laurent
;
Mandelbrot, Benoit
-
Cowles Foundation for Research in Economics, Yale University
-
1997
This paper presents the first empirical investigation of the Multifractal Model of
Asset
Returns
("MMAR"). The MMAR …
Persistent link: https://www.econbiz.de/10005249164
Saved in:
5
Large Deviations and the Distribution of Price Changes
Calvet, Laurent
;
Fisher, Adlai
;
Mandelbrot, Benoit
-
Cowles Foundation for Research in Economics, Yale University
-
1997
The Multifractal Model of
Asset
Returns
("MMAR," see Mandelbrot, Fisher, and Calvet, 1997) proposes a class of …
Persistent link: https://www.econbiz.de/10005463933
Saved in:
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