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A minimal noise trader model with realistic time series properties

Alfarano, Simone (contributor); Lux, Thomas (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001781210

Risk factor analysis and portfolio immunization in the corporate bond market

Bertocchi, Marida (contributor); … - 2000 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001528392

Some like it smooth, and some like it rough : untangling continuous and jump components in measuring, modeling, and forecasting asset return volatility

Andersen, Torben (contributor); Bollerslev, Tim (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001899970

The multi-fractal model of asset returns : its estimation via GMM and its use for volatility forecasting

Lux, Thomas (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001781206

Detecting multi-fractal properties in asset returns : the failure of the "scaling estimator"

Lux, Thomas (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001781208

The Markov-switching multi-fractal model of asset returns : GMM estimation and linear forecasting of volatility

Lux, Thomas (contributor) - 2004 - [Elektronische Ressource],rev

Multi-fractal processes have recently been proposed as a new formalism for modelling the time series of returns in finance. The major attraction of these processes is their ability to generate various degrees of long memory in different powers of returns - a feature that has been found in...