Azizieh, Céline; Breymann, Wolfgang - Centre Emile Bernheim, Solvay Brussels School of … - 2005
We present a time series model that integrates properties from Levy-type and multifractal models. Formally, it is a stochastic volatility model with discrete time steps, t-distributed return innovations and a stochastic cascade for the volatility process. This model reproduces very well...