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- W1641175576 abstract "In this paper we briefly review the recently inrtroduced Multifractal Random Walk (MRW) that is able to reproduce most of recent empirical findings concerning financial time-series : no correlation between price variations, long-range volatility correlations and multifractal statistics. We then focus on its extension to a multivariate context in order to model portfolio behavior. Empirical estimations on real data suggest that this approach can be pertinent to account for the nature of both linear and non-linear correlation between stock returns at all time scales." @default.
- W1641175576 created "2016-06-24" @default.
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- W1641175576 date "2000-01-01" @default.
- W1641175576 modified "2023-09-26" @default.
- W1641175576 title "A multivariate multifractal model for return fluctuations" @default.
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