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generalized to account for jumps, skewness and multiasset correlations. …
Persistent link: https://www.econbiz.de/10005328201
This is a short review in honor of B. Mandelbrot's 80st birthday, to appear in W ilmott magazine. We discuss how multiplicative cascades and related multifractal ideas might be relevant to model the main statistical features of financial time series, in particular the intermittent, long-memory...
Persistent link: https://www.econbiz.de/10005695653