Nothing Special   »   [go: up one dir, main page]
create a website
Multiscale estimation of processes related to the fractional Black-Scholes equation. (2003). Fernandez-Pascual, R. ; Ruiz-Medina, M. ; Angulo, J..
In: Computational Statistics.
RePEc:spr:compst:v:18:y:2003:i:3:p:401-415.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 21

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Adler, R.J. (1981), The Geometry of Random Fields, John Wiley, New York.
    Paper not yet in RePEc: Add citation now
  2. Angulo, J.M. and Ruiz-Medina, M.D. (1999), Multiresolution approximation to the stochastic inverse problem. Advances in Applied Probability, 31, 1039–1057.
    Paper not yet in RePEc: Add citation now
  3. Anh V.V., Angulo, J.M. and Ruiz-Medina, M.D. (1999), Possible long-range dependence in fractional random fields. Journal of Statistical Planning and Inference, 80, 95–110.
    Paper not yet in RePEc: Add citation now
  4. Benassi, A., Jaffard, S. and Roux, D. (1997), Elliptic Gaussian random processes. Revista Maternática Iberoamericana, 13, 19–90.
    Paper not yet in RePEc: Add citation now

  5. Calvet, L. and Fisher, A. (2001), Forecasting multifractal volatility. Journal of Econometrics, 105, 27–58.

  6. Daubechies, I. (1992), Ten Lectures on Wavelets, SIAM, Philadelphia.
    Paper not yet in RePEc: Add citation now
  7. Donoho, D.L. (1995), Nonlinear solution of linear inverse problems by wavelet-vaguelette decomposition. Applied and Computational Harmonic Analysis, 2, 101–126.
    Paper not yet in RePEc: Add citation now
  8. Fisher, A., Calvet, L. and Mandelbrot, B. (1997), Multifractality of the Deutschmark/US Dollar exchange rates. Cowles Foundation Discussion Paper, 1165.
    Paper not yet in RePEc: Add citation now

  9. Hartvig, N.V., Jensen, J.L. and Pedersen, J. (2001), A class of risk neutral densities with heavy tails. Finance and Stochastics, 5, 115–128.

  10. Heyde, C.C. (1999), A risky asset model with strong dependence through fractal activity time. Journal of Applied Probability, 36, 1234–1239.
    Paper not yet in RePEc: Add citation now
  11. Kato, T. (1995), Perturbation Theory of Linear Operators, Springer-Verlag, Berlin.
    Paper not yet in RePEc: Add citation now

  12. Mandelbrot, B., Fisher, A. and Calvet, L. (1997), A multifractal model of asset returns. Cowles Foundation Discussion Paper, 1164.

  13. Meyer, Y. (1992), Wavelets and Operators, Cambridge University Press, Cambridge.
    Paper not yet in RePEc: Add citation now
  14. Podlubny, I. (1999), Fractional Differential Equations, Academic Press, Inc., San Diego.
    Paper not yet in RePEc: Add citation now
  15. Rozanov, Y.A. (1996), Random Fields and Stochastic Partial Differential Equations, Kluwer Academic Publishers, Dordrecht.
    Paper not yet in RePEc: Add citation now
  16. Ruiz-Medina, M.D., Angulo, J.M. and Anh, V.V. (2002), Stochastic fractional-order differential models on fractals. Theory of Probability and Mathematical Statistics, 67, 130–146.
    Paper not yet in RePEc: Add citation now

  17. Ruiz-Medina, M.D., Anh, V.V. and Angulo, J.M. (2001), Stochastic fractional-order differential models with fractal boundary conditions. Statistics and Probability Letters, 54, 47–60.

  18. Samorodnitsky, G. and Taqqu, M.S. (1994), Stable Non-Gaussian Random Processes. Stochastic Models with Infinite Variance, Chapman & Hall, New York.
    Paper not yet in RePEc: Add citation now
  19. Triebel, H. (1997), Fractals and Spectra, Birkhäuser, Basel.
    Paper not yet in RePEc: Add citation now
  20. Wong, E. and Hajek, B. (1985), Stochastic Processes in Engineering Systems, Springer-Verlag, New York.
    Paper not yet in RePEc: Add citation now
  21. Zariphopoulou, T. (1997), A solution to valuation with unhedgeable risks. Finance and Stochastics, 5, 61–82.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. How do capital structure and economic regime affect fair prices of bank’s equity and liabilities?. (2018). Zeng, Yan ; Shen, Yang ; Hainaut, Donatien.
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:262:y:2018:i:2:d:10.1007_s10479-016-2210-8.

    Full description at Econpapers || Download paper

  2. Forecasting Inflation Uncertainty in the G7 Countries. (2018). Wilfling, Bernd ; Bekiros, Stelios ; Segnon, Mawuli.
    In: Econometrics.
    RePEc:gam:jecnmx:v:6:y:2018:i:2:p:23-:d:143630.

    Full description at Econpapers || Download paper

  3. The scale of predictability. (2018). Tebaldi, C ; Tamoni, Andrea ; Perron, B ; Bandi, F M.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:85646.

    Full description at Econpapers || Download paper

  4. Modeling and forecasting multifractal volatility established upon the heterogeneous market hypothesis. (2018). Tao, Qizhi ; Zhang, Ting ; Liu, Jiapeng ; Wei, YU.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:54:y:2018:i:c:p:143-153.

    Full description at Econpapers || Download paper

  5. Investigation of multifractality in the Brazilian stock market. (2018). Maganini, Natalia Diniz ; Lima, Fabiano Guasti ; da Silva, Antonio Carlos.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:497:y:2018:i:c:p:258-271.

    Full description at Econpapers || Download paper

  6. The prediction of oil price turning points with log-periodic power law and multi-population genetic algorithm. (2018). Cheng, Fangzheng ; Li, Shanling ; Fan, Dandan.
    In: Energy Economics.
    RePEc:eee:eneeco:v:72:y:2018:i:c:p:341-355.

    Full description at Econpapers || Download paper

  7. Forecasting Inflation Uncertainty in the G7 Countries. (2018). Wilfling, Bernd ; Bekiros, Stelios ; Segnon, Mawuli.
    In: CQE Working Papers.
    RePEc:cqe:wpaper:7118.

    Full description at Econpapers || Download paper

  8. Multifractal characteristics and return predictability in the Chinese stock markets. (2018). Zhou, Wei-Xing ; Jiang, Zhi-Qiang ; Shan, Zheng ; Gao, Xing-Lu ; Fu, Xin-Lan.
    In: Papers.
    RePEc:arx:papers:1806.07604.

    Full description at Econpapers || Download paper

  9. Forecasting Stock Market Realized Variance with Echo State Neural Networks. (2017). Fiura, Milan.
    In: European Financial and Accounting Journal.
    RePEc:prg:jnlefa:v:2017:y:2017:i:3:id:193:p:145-156.

    Full description at Econpapers || Download paper

  10. Are Multifractal Processes Suited to Forecasting Electricity Price Volatility? Evidence from Australian Intraday Data. (2017). Wilfling, Bernd ; Lau, Chi Keung ; GUPTA, RANGAN ; Segnon, Mawuli.
    In: Working Papers.
    RePEc:pre:wpaper:201739.

    Full description at Econpapers || Download paper

  11. Modeling and forecasting the volatility of carbon dioxide emission allowance prices: A review and comparison of modern volatility models. (2017). GUPTA, RANGAN ; Segnon, Mawuli ; Lux, Thomas.
    In: Renewable and Sustainable Energy Reviews.
    RePEc:eee:rensus:v:69:y:2017:i:c:p:692-704.

    Full description at Econpapers || Download paper

  12. Multifractal analysis of Moroccan family business stock returns. (2017). Lahmiri, Salim.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:486:y:2017:i:c:p:183-191.

    Full description at Econpapers || Download paper

  13. Forecasting crude-oil market volatility: Further evidence with jumps. (2017). Darné, Olivier ; Darne, Olivier ; Charles, Amelie.
    In: Energy Economics.
    RePEc:eee:eneeco:v:67:y:2017:i:c:p:508-519.

    Full description at Econpapers || Download paper

  14. Generalized Method of Moment estimation of multivariate multifractal models. (2017). Liu, Ruipeng ; Lux, Thomas.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:67:y:2017:i:c:p:136-148.

    Full description at Econpapers || Download paper

  15. Forecasting Market Risk of Portfolios: Copula-Markov Switching Multifractal Approach. (2017). Trede, Mark ; Segnon, Mawuli.
    In: CQE Working Papers.
    RePEc:cqe:wpaper:6617.

    Full description at Econpapers || Download paper

  16. Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data. (2017). Wilfling, Bernd ; Lau, Chi Keung ; GUPTA, RANGAN ; Segnon, Mawuli.
    In: CQE Working Papers.
    RePEc:cqe:wpaper:6117.

    Full description at Econpapers || Download paper

  17. Convergence and monotonicity of the hormone levels in a hormone-based content delivery system. (2016). Elmenreich, Wilfried ; Sobe, Anita ; Szkaliczki, Tibor .
    In: Central European Journal of Operations Research.
    RePEc:spr:cejnor:v:24:y:2016:i:4:d:10.1007_s10100-015-0412-9.

    Full description at Econpapers || Download paper

  18. How do capital structure and economic regime affect fair prices of banks equity and liabilities?. (2016). Zeng, Yan ; Shen, Yan ; Hainaut, Donatien.
    In: Post-Print.
    RePEc:hal:journl:hal-01394133.

    Full description at Econpapers || Download paper

  19. Forecasting the volatility of the Dow Jones Islamic Stock Market Index: Long memory vs. regime switching. (2016). GUPTA, RANGAN ; Ben Nasr, Adnen ; Ajmi, Ahdi Noomen ; Lux, Thomas.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:45:y:2016:i:c:p:559-571.

    Full description at Econpapers || Download paper

  20. Multifractal detrended Cross Correlation Analysis of Foreign Exchange and SENSEX fluctuation in Indian perspective. (2016). Dutta, Srimonti ; Chatterjee, Sucharita ; Ghosh, Dipak .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:463:y:2016:i:c:p:188-201.

    Full description at Econpapers || Download paper

  21. Long memory and multifractality: A joint test. (2016). Onali, Enrico ; Goddard, John.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:451:y:2016:i:c:p:288-294.

    Full description at Econpapers || Download paper

  22. Multifractal Value at Risk model. (2016). Lee, Ho Jin ; Chang, Woojin ; Song, Jae Wook.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:451:y:2016:i:c:p:113-122.

    Full description at Econpapers || Download paper

  23. Forecasting crude oil market volatility: A Markov switching multifractal volatility approach. (2016). Wang, Yudong ; Yang, LI ; Wu, Chongfeng.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:32:y:2016:i:1:p:1-9.

    Full description at Econpapers || Download paper

  24. Forecasting crude oil price volatility and value-at-risk: Evidence from historical and recent data. (2016). GUPTA, RANGAN ; Lux, Thomas ; Segnon, Mawuli.
    In: Energy Economics.
    RePEc:eee:eneeco:v:56:y:2016:i:c:p:117-133.

    Full description at Econpapers || Download paper

  25. A compound duration model for high-frequency asset returns. (2016). Aldrich, Eric ; Laughlin, Gregory ; Heckenbach, Indra .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:39:y:2016:i:pa:p:105-128.

    Full description at Econpapers || Download paper

  26. Modeling and Forecasting Carbon Dioxide Emission Allowance Spot Price Volatility: Multifractal vs. GARCH-type Volatility Models. (2015). GUPTA, RANGAN ; Segnon, Mawuli ; Lux, Thomas.
    In: FinMaP-Working Papers.
    RePEc:zbw:fmpwps:46.

    Full description at Econpapers || Download paper

  27. Multi-scaling of moments in stochastic volatility models. (2015). Pra, Dai P ; Pigato, P.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:125:y:2015:i:10:p:3725-3747.

    Full description at Econpapers || Download paper

  28. Evidence of multifractality from CEE exchange rates against Euro. (2015). Haven, Emmanuel ; Caraiani, Petre.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:419:y:2015:i:c:p:395-407.

    Full description at Econpapers || Download paper

  29. What is beneath the surface? Option pricing with multifrequency latent states. (2015). Calvet, Laurent ; Leippold, Markus ; Fisher, Adlai J. ; Fearnley, Marcus .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:187:y:2015:i:2:p:498-511.

    Full description at Econpapers || Download paper

  30. Exponential Smoothing, Long Memory and Volatility Prediction. (2015). Proietti, Tommaso.
    In: CREATES Research Papers.
    RePEc:aah:create:2015-51.

    Full description at Econpapers || Download paper

  31. Exact solutions for the transient densities of continuous-time Markov switching models: With an application to the poisson multifractal model. (2013). Lux, Thomas.
    In: Kiel Working Papers.
    RePEc:zbw:ifwkwp:1871.

    Full description at Econpapers || Download paper

  32. Multifractal models in finance: Their origin, properties, and applications. (2013). Segnon, Mawuli ; Lux, Thomas.
    In: Kiel Working Papers.
    RePEc:zbw:ifwkwp:1860.

    Full description at Econpapers || Download paper

  33. Relative forecasting performance of volatility models: Monte Carlo evidence. (2013). Morales-Arias, Leonardo ; Lux, Thomas.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:13:y:2013:i:9:p:1375-1394.

    Full description at Econpapers || Download paper

  34. Handbook of Research on Complexity, by J. Barkley Rosser, Jr. and Edward Elgar. (2013). Tassier, Troy.
    In: Eastern Economic Journal.
    RePEc:pal:easeco:v:39:y:2013:i:1:p:132-133.

    Full description at Econpapers || Download paper

  35. Markov switching models in asset pricing research. (2013). Guidolin, Massimo.
    In: Chapters.
    RePEc:elg:eechap:14545_1.

    Full description at Econpapers || Download paper

  36. A Markov-switching multifractal approach to forecasting realized volatility. (2011). Lux, Thomas ; Sattarhoff, Cristina ; Morales-Arias, Leonardo .
    In: Kiel Working Papers.
    RePEc:zbw:ifwkwp:1737.

    Full description at Econpapers || Download paper

  37. J.B. Rosser Jr. , Handbook of Research on Complexity, Edward Elgar, Cheltenham, UK--Northampton, MA, USA (2009) 436 + viii pp., index, ISBN 978 1 84542 089 5 (cased).. (2011). Doria, Francisco Antonio .
    In: Journal of Economic Behavior & Organization.
    RePEc:eee:jeborg:v:78:y:2011:i:1-2:p:196-204.

    Full description at Econpapers || Download paper

  38. Flexible and robust modelling of volatility comovements: a comparison of two multifractal models. (2010). Liu, Ruipeng ; Lux, Thomas.
    In: Kiel Working Papers.
    RePEc:zbw:ifwkwp:1594.

    Full description at Econpapers || Download paper

  39. Relative forecasting performance of volatility models: Monte Carlo evidence. (2010). Lux, Thomas ; Morales-Arias, Leonardo .
    In: Kiel Working Papers.
    RePEc:zbw:ifwkwp:1582.

    Full description at Econpapers || Download paper

  40. Forecasting volatility under fractality, regime-switching, long memory and student-t innovations. (2010). Lux, Thomas ; Morales-Arias, Leonardo .
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:54:y:2010:i:11:p:2676-2692.

    Full description at Econpapers || Download paper

  41. Long Run Risks, Credit Markets, and Financial Structure. (2010). Strebulaev, Ilya ; Bhamra, Harjoat ; Kuehn, Lars-Alexander.
    In: American Economic Review.
    RePEc:aea:aecrev:v:100:y:2010:i:2:p:547-51.

    Full description at Econpapers || Download paper

  42. Forecasting volatility under fractality, regime-switching, long memory and student-t innovations. (2009). Lux, Thomas ; Morales-Arias, Leonardo .
    In: Kiel Working Papers.
    RePEc:zbw:ifwkwp:1532.

    Full description at Econpapers || Download paper

  43. Applications of Statistical Physics in Finance and Economics. (2009). Lux, Thomas.
    In: Chapters.
    RePEc:elg:eechap:3625_9.

    Full description at Econpapers || Download paper

  44. Applications of statistical physics in finance and economics. (2008). Lux, Thomas.
    In: Kiel Working Papers.
    RePEc:zbw:ifwkwp:1425.

    Full description at Econpapers || Download paper

  45. Optimal approximations of power laws with exponentials: application to volatility models with long memory. (2007). Challet, Damien ; Bochud, Thierry.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:7:y:2007:i:6:p:585-589.

    Full description at Econpapers || Download paper

  46. Intraday dynamics of stock market returns and volatility. (2006). Gencay, Ramazan ; Seluk, Faruk ; Genay, Ramazan.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:367:y:2006:i:c:p:375-387.

    Full description at Econpapers || Download paper

  47. Multifrequency News and Stock Returns. (2005). Fisher, Adlai ; Calvet, Laurent.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11441.

    Full description at Econpapers || Download paper

  48. On a multi-timescale statistical feedback model for volatility fluctuations. (2005). J. -Ph. Bouchaud, ; Borland, L..
    In: Papers.
    RePEc:arx:papers:physics/0507073.

    Full description at Econpapers || Download paper

  49. Multifractal model of asset returns with leverage effect. (2004). Kertesz, J. ; Eisler, Z..
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:343:y:2004:i:c:p:603-622.

    Full description at Econpapers || Download paper

  50. Multifractal model of asset returns with leverage effect. (2004). Kertesz, Janos ; Eisler, Zoltan .
    In: Papers.
    RePEc:arx:papers:cond-mat/0403767.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-12-18 06:51:28 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.