Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration
نویسندگان
چکیده
منابع مشابه
Fractals or I.I.D.: Evidence of Long-Range Dependence and Heavy Tailedness from Modeling German Equity Market Returns
Several studies find that the return volatility of stocks tends to exhibit long-range dependence, heavy tails, and clustering. Because stochastic processes with self-similarity possess long-range dependence and heavy tails, Rachev and Mittnik (2000) suggest employing self-similar processes to capture these characteristics in return volatility modeling. In this paper, we find using high-frequenc...
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ژورنال
عنوان ژورنال: Annals of Finance
سال: 2007
ISSN: 1614-2446,1614-2454
DOI: 10.1007/s10436-007-0078-y