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• W2079246320 abstract "This paper investigates and provides evidence of the multifractal properties of products of the exponential of Ornstein–Uhlenbeck processes driven by Levy motion. We demonstrate in detail the construction of a multifractal process with gamma subordinator as the background driving Levy process. Simulations are performed for the scenarios corresponding to the normal inverse Gaussian, gamma and inverse Gaussian distributions. The log periodograms and Renyi functions of the simulated processes are also computed to investigate their multifractality." @default.
• W2079246320 created "2016-06-24" @default.
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• W2079246320 date "2010-02-25" @default.
• W2079246320 modified "2023-09-25" @default.
• W2079246320 title "Simulation of multifractal products of Ornstein–Uhlenbeck type processes" @default.
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• W2079246320 doi "https://doi.org/10.1088/0951-7715/23/4/004" @default.
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