FORECASTING VOLATILITY WITH THE MULTIFRACTAL RANDOM WALK...

Mathematical Finance 2012 Vol. 22; Iss. 1

FORECASTING VOLATILITY WITH THE MULTIFRACTAL RANDOM WALK MODEL

Jean Duchon, Raoul Robert, Vincent Vargas
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Volume:
22
Year:
2012
Language:
english
Pages:
26
DOI:
10.1111/j.1467-9965.2010.00458.x
File:
PDF, 741 KB
english, 2012
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