Forecasting volatility with the multifractal random walk model

Mathematical Finance

Volumn 22, Issue 1, 2012, Pages 83-108

  Duchon, Jean ^a   Robert, Raoul ^a   Vargas, Vincent ^b  

^a UNIV GRENOBLE ALPES   (France)

^b UNIVERSITÉ PARIS DAUPHINE   (France)

Author keywords

Gaussian processes; Multifractal processes; Prediction theory; Random measures

Indexed keywords

EID: 84856057082     PISSN: 09601627     EISSN: 14679965     Source Type: Journal    
DOI: 10.1111/j.1467-9965.2010.00458.x     Document Type: Article

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