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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Official URL: http://dx.doi.org/10.1080/07362994.2016.1164606
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: | 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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