Scaling and Multiscaling in Financial Series: A Simple Model

We propose a simple stochastic volatility model which is analytically tractable, very easy to simulate, and which captures some relevant stylized facts of financial assets, including scaling properties. In particular, the model displays a crossover in the log-return distribution from power-law tails...

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Veröffentlicht in:Advances in applied probability 2012-12, Vol.44 (4), p.1018-1051
Hauptverfasser: Andreoli, Alessandro, Caravenna, Francesco, Dai Pra, Paolo, Posta, Gustavo
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Sprache:eng
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