کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5099559 | 1377015 | 2008 | 44 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Continuous cascade models for asset returns
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
کنترل و بهینه سازی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
In this paper, we make a short overview of continuous cascade models recently introduced to model asset return fluctuations. We show that these models account in a very parcimonious manner for most of 'stylized facts' of financial time-series. We review in more details the simplest continuous cascade namely the log-normal multifractal random walk (MRW). It can simply be considered as a stochastic volatility model where the (log-) volatility memory has a peculiar 'logarithmic' shape. This model possesses some appealing stability properties with respect to time aggregation. We describe how one can estimate it using a GMM method and we present some applications to volatility and (VaR) Value at Risk forecasting.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 32, Issue 1, January 2008, Pages 156-199
Journal: Journal of Economic Dynamics and Control - Volume 32, Issue 1, January 2008, Pages 156-199
نویسندگان
E. Bacry, A. Kozhemyak, Jean-François Muzy,