Multifractal scenarios for products of geometric Levy-based stationary models

Denisov, Denis and Leonenko, Nikolai ORCID: https://orcid.org/0000-0003-1932-4091 2016. Multifractal scenarios for products of geometric Levy-based stationary models. Stochastic Analysis and Applications 34 (4) , pp. 610-643. 10.1080/07362994.2016.1164606

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Abstract

We investigate the properties of multifractal products of geometric Gaussian processes with possible long-range dependence and geometric Ornstein–Uhlenbeck processes driven by Lévy motion and their finite and infinite superpositions. We construct the multifractal, such as log-gamma, log-tempered stable, or log-normal tempered stable scenarios.

Item Type:	Article
Date Type:	Publication
Status:	Published
Schools:	Mathematics
Subjects:	Q Science > QA Mathematics
Publisher:	Taylor and Francis
ISSN:	0736-2994
Date of First Compliant Deposit:	22 April 2016
Date of Acceptance:	20 March 2016
Last Modified:	30 Nov 2024 14:15
URI:	https://orca.cardiff.ac.uk/id/eprint/89613

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