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Volumn 3, Issue 1, 2003, Pages

Multifractality: Theory and evidence an application to the french stock market

Author keywords

[No Author keywords available]

Indexed keywords


EID: 84891640647     PISSN: None     EISSN: 15452921     Source Type: Journal    
DOI: None     Document Type: Article
Times cited : (20)

References (15)
  • 1
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    • Long Memory Processes and Fractional Integration in Econometrics
    • Baillie, R.T., (1996) "Long Memory Processes and Fractional Integration in Econometrics" Journal of Econometrics 73, 5-59.
    • (1996) Journal of Econometrics , vol.73 , pp. 5-59
    • Baillie, R.T.1
  • 2
    • 0040485278 scopus 로고    scopus 로고
    • Fractionally Integrated Generalized Autoregressive Conditional Heteroskedasticity
    • Baillie, R.T., Bollerslev, T., and Mikkelsen, H.O., (1996) "Fractionally Integrated Generalized Autoregressive Conditional Heteroskedasticity" Journal of Econometrics, Vol.74, 3-30.
    • (1996) Journal of Econometrics , vol.74 , pp. 3-30
    • Baillie, R.T.1    Bollerslev, T.2    Mikkelsen, H.O.3
  • 3
    • 42449156579 scopus 로고
    • Generalized Autoregressive Conditional Heteroskedasticity
    • Bollerslev, T., (1986) "Generalized Autoregressive Conditional Heteroskedasticity" Journal of Econometrics, Vol 31, 307-327.
    • (1986) Journal of Econometrics , vol.31 , pp. 307-327
    • Bollerslev, T.1
  • 4
    • 0036022601 scopus 로고    scopus 로고
    • Multifractality in Asset Returns: Theory and Evidence
    • Calvet, L., and Fisher, A., (2002) "Multifractality in Asset Returns: Theory and Evidence" The Review of Economics and Statistics 84, 381-406
    • (2002) The Review of Economics and Statistics , vol.84 , pp. 381-406
    • Calvet, L.1    Fisher, A.2
  • 5
    • 0003511004 scopus 로고    scopus 로고
    • A Multifractal Model of Asset Returns
    • Cowles Foundation Discussion Paper No. 1164, Yale University
    • Calvet, L., Fisher, A., and Mandelbrot, B.B., (1997a) "A Multifractal Model of Asset Returns" Cowles Foundation Discussion Paper No. 1164, Yale University.
    • (1997)
    • Calvet, L.1    Fisher, A.2    Mandelbrot, B.B.3
  • 6
    • 0008521435 scopus 로고    scopus 로고
    • Large Deviation and the Distribution of Price Changes
    • Cowles Foundation Discussion Paper No. 1165, Yale University
    • Calvet, L., Fisher, A., and Mandelbrot, B.B., (1997b) "Large Deviation and the Distribution of Price Changes" Cowles Foundation Discussion Paper No. 1165, Yale University.
    • (1997)
    • Calvet, L.1    Fisher, A.2    Mandelbrot, B.B.3
  • 7
    • 0003444256 scopus 로고    scopus 로고
    • Multifractality of Deutsche Mark/US Dollar Exchange Rate
    • Cowles Foundation Discussion Paper No. 1166, Yale University
    • Calvet, L., Fisher, A., and Mandelbrot, B.B., (1997c) "Multifractality of Deutsche Mark/US Dollar Exchange Rate" Cowles Foundation Discussion Paper No. 1166, Yale University.
    • (1997)
    • Calvet, L.1    Fisher, A.2    Mandelbrot, B.B.3
  • 9
    • 84891658171 scopus 로고
    • Probability: Theory and Examples, Pacific Grove, Calif: Wadsworth & Books/Cole Advanced Book & Software
    • Durrett, R., (1991) Probability: Theory and Examples, Pacific Grove, Calif: Wadsworth & Books/Cole Advanced Book & Software.
    • (1991)
    • Durrett, R.1
  • 10
    • 34047275857 scopus 로고    scopus 로고
    • The Scaling Function-Based Estimator of the Long Memory Parameter: a Comparative Study
    • Fillol, J., and Tripier, F., (2003) "The Scaling Function-Based Estimator of the Long Memory Parameter: a Comparative Study" Economics Bulletin, Vol. 3, No. 23,.1-7.
    • (2003) Economics Bulletin , vol.3 , Issue.23 , pp. 1-7
    • Fillol, J.1    Tripier, F.2
  • 11
    • 84868942314 scopus 로고    scopus 로고
    • Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets
    • CREST Working Paper
    • Ghysels, E., Gouriéroux, C., and Jasiak, J., (1996) "Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets", CREST Working Paper, 9655.
    • (1996) , pp. 9655
    • Ghysels, E.1    Gouriéroux, C.2    Jasiak, J.3
  • 12
    • 0015969022 scopus 로고
    • Intermittent Turbulence in Self Similar Cascades: Divergences of High Moments and Dimension of the Carrier
    • Mandelbrot, B.B., (1974) "Intermittent Turbulence in Self Similar Cascades: Divergences of High Moments and Dimension of the Carrier" Journal of Fluid Mechanics 62, 331-365.
    • (1974) Journal of Fluid Mechanics , vol.62 , pp. 331-365
    • Mandelbrot, B.B.1
  • 14
    • 0000642461 scopus 로고
    • On the Distribution of Stock Price Differences
    • Mandelbrot, B.B., and Taylor, H. W., (1967) "On the Distribution of Stock Price Differences" Operations Research 15, 1057-1062.
    • (1967) Operations Research , vol.15 , pp. 1057-1062
    • Mandelbrot, B.B.1    Taylor, H.W.2
  • 15
    • 0742301928 scopus 로고    scopus 로고
    • "The local Hölder Function of a Continuous Function" Comput
    • Seuret, S., and Lévy Véhel, J. (2002) "The local Hölder Function of a Continuous Function" Comput. Harmon. Anal., Vol. 13, No. 3, 263-276
    • (2002) Harmon. Anal. , vol.13 , Issue.3 , pp. 263-276
    • Seuret, S.1    Lévy Véhel, J.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.