Continuous cascade models for asset returns

Journal of Economic Dynamics and Control

Volumn 32, Issue 1, 2008, Pages 156-199

  Bacry, E ^a   Kozhemyak, A ^a   Muzy, Jean François ^b  

^a CENTRE DE MATHÉMATIQUES APPLIQUÉES   (France)

^b UNIVERSITÉ DE CORSE   (France)

Author keywords

Asset return fluctuations; GMM estimation; Multifractals; Random cascades; Stochastic volatility; Value at risk forecasts; Volatility forecasts

Indexed keywords

EID: 36849005475     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jedc.2007.01.024     Document Type: Article

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