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A Multifractal Model of Asset Returns
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Cash Flows, Asset Values, and Investment Returns, Tony · PDF fileCash Flows, Asset Values, and Investment Returns Tony Estep Managing Director 314.466.4826 [email protected]
Multifractal Process
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Demographic Structure and Asset Returnspages.stern.nyu.edu/~dbackus/BCH/returns/Poterba_demo...DEMOGRAPHIC STRUCTURE AND ASSET RETURNS James M. Poterba* Abstract-This paper investigates
Financial Time Series and Their Characteristics · Financial Asset Returns Distributional Properties of Financial Asset Returns Basics of Asset Returns Most financial studies involvereturns—instead
Regime-Switching and the Estimation of Multifractal Processes · Calvet, Fisher, and Mandelbrot (1997 a,b,c) introduce the multifractal model of asset returns (MMAR), a di ffusion
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Large Deviations and the Distribution of Price Changesaldous/206-LD/calvet.pdf · Abstract The Multifractal Model of Asset Returns (\MMAR", See Mandelbrot, Fisher, and Cal-vet, 1997)
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Factor Models for Asset Returns - University of Washingtonfaculty.washington.edu/ezivot/research/factormodellecture_handout.pdf · Factor models for asset returns are used to •