Search Results - subject:"Multifractal random walk"

Sattarhoff, Cristina; Lux, Thomas - 2021

We adapt the multifractal random walk model by Bacry et al. (2001) to realized volatilities (denoted RV-MRW) and take …

Persistent link: https://www.econbiz.de/10012672395

Sattarhoff, Cristina; Lux, Thomas - 2021

We adapt the multifractal random walk model by Bacry et al. (2001) to realized volatilities (denoted RV-MRW) and take …

Persistent link: https://www.econbiz.de/10012672178

Sattarhoff, Cristina; Lux, Thomas - In: International journal of forecasting 39 (2023) 4, pp. 1678-1697

Persistent link: https://www.econbiz.de/10014465344

Sattarhoff, Cristina; Gronwald, Marc - In: International review of financial analysis 84 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013472965

Sattarhoff, Cristina; Gronwald, Marc - 2018

multifractal random walk model by Bacry et al. (2001b). While the random walk corresponds to the most genuine form of market …

Persistent link: https://www.econbiz.de/10011887362

Sattarhoff, Cristina; Gronwald, Marc - 2018

multifractal random walk model by Bacry et al. (2001b). While the random walk corresponds to the most genuine form of market …

Persistent link: https://www.econbiz.de/10011864306

Kuroda, Koji - In: Evolutionary and institutional economics review 13 (2016) 2, pp. 481-496

Persistent link: https://www.econbiz.de/10011581502

Kutergin, Aleksey; Filimonov, Vladimir - In: Financial econometrics and empirical market microstructure, (pp. 131-151). 2015

Persistent link: https://www.econbiz.de/10011326692

Calif, Rudy; Schmitt, François G.; Huang, Yongxiang - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 18, pp. 4106-4120

simulations of a Multifractal Random Walk (MRW) using a log-normal stochastic equation. We show that the simulation results are …

Persistent link: https://www.econbiz.de/10011057186