Forecasting volatility with the multifractal random walk model
Date
2012Link to item file
http://hal.archives-ouvertes.fr/hal-00220402/en/Dewey
Probabilités et mathématiques appliquéesSujet
Random measures; Gaussian processes; Prediction theory; Multifractal processesJournal issue
Mathematical FinanceVolume
22Number
1Publication date
2012Article pages
83-108Publisher
WileyCollections
Metadata
Show full item recordAuthor
Duchon, Jean
Robert, Raoul
Vargas, Vincent