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- W1622808250 abstract "We introduce a class of stochastic volatility models (Xt)t≥0 for which the absolute moments of the increments exhibit anomalous scaling: E(∣Xt+h−Xt∣q) scales as hq/2 for q<q∗, but as hA(q) with A(q)<q/2 for q>q∗, for some threshold q∗. This multi-scaling phenomenon is observed in time series of financial assets. If the dynamics of the volatility is given by a mean-reverting equation driven by a Levy subordinator and the characteristic measure of the Levy process has power law tails, then multi-scaling occurs if and only if the mean reversion is superlinear." @default.
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- W1622808250 date "2015-10-01" @default.
- W1622808250 modified "2023-10-14" @default.
- W1622808250 title "Multi-scaling of moments in stochastic volatility models" @default.
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- W1622808250 doi "https://doi.org/10.1016/j.spa.2015.04.007" @default.
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