Estimation of the Stylized Facts of a Stochastic Cascade Model
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Cited by:
- Crepaldi, Antonio F. & Neto, Camilo Rodrigues & Ferreira, Fernando F. & Francisco, Gerson, 2009. "Multifractal regime transition in a modified minority game model," Chaos, Solitons & Fractals, Elsevier, vol. 42(3), pages 1364-1371.
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More about this item
Keywords
stochastic cascade; multifractal models; stochastic volatility;All these keywords.
JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G19 - Financial Economics - - General Financial Markets - - - Other
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2006-02-05 (Econometrics)
- NEP-FIN-2006-02-05 (Finance)
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