Calvet, Laurent E. - 2013
The Multifractal Model of Asset Returns (See lt;a HREF=http://papers.ssrn.com/paper.taf?abstract_id=78588gt;Mandelbrot, Fisher, and Calvet, 1997lt;/Agt; ) proposes a class of multifractal processes for the modelling of financial returns. In that paper, multifractal processes are defined by a...