Multi-fractal processes have recently been proposed as a new formalism for modelling the time series of returns in …-switching multi-fractal model in Calvet and Fisher (2001) which allows for estimation of its parameters via maximum likelihood and …

Multifractal processes have recently been proposed as a new formalism for modelling the time series of returns in …-switching multifractal model in Calvet and Fisher (2001) which allows for estimation of its parameters via maximum likelihood and Bayesian …

intermittency phenomena, i.e., relatively long periods of small and persistent movements punctuated intermittently by seemingly …