Scaling issues for risky asset modelling
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DOI: 10.1007/s00186-008-0253-6
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References listed on IDEAS
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- Chuxuan Jiang & Priya Dev & Ross A. Maller, 2020. "A Hypothesis Test Method for Detecting Multifractal Scaling, Applied to Bitcoin Prices," JRFM, MDPI, vol. 13(5), pages 1-21, May.
- Grahovac, Danijel & Leonenko, Nikolai N., 2014. "Detecting multifractal stochastic processes under heavy-tailed effects," Chaos, Solitons & Fractals, Elsevier, vol. 65(C), pages 78-89.
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Keywords
Heavy-tailed distributions; Scaling; Fractal markets;All these keywords.
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