References
- Ayache , A . 2000 . The Generalized Multifractional Brownian Motion can be Multifractal , Toulouse : Publications du Laboratoire de statistique et probabilities, Université Paul Sabatier .
- Ayache , A and Lévy Véhel , J . 2000 . The generalized multifractional Brownian motion . Statistical Inference for Stochastic Processes , 3 : 7 – 18 .
- Ayache , A and Taqqy , M. S . 2003 . Multifractional Processes with Random Exponent , Prepublications Centre de Mathématiques et de Leurs Applications .
- Bianchi , S . 2004 . “ Pathwise identification of the memory function of multifractional Brownian motion ” . In International Journal of Theoretical and Applied Finance forthcoming
- Bouchaud , JP , Potters , M and Meyer , M . 2000 . Apparent multifractality in financial time series . The European Physical Journal B , 13 : 596 – 99 .
- Calvet , L , Fisher , A and Mandelbrot , B. B . 1997 . “ Large Deviation and the Distribution of Price Changes ” . In Cowles Foundation Discussion Paper No. 1165 , Yale University .
- Calvet , L and Fisher , A . 2002 . Multifractality in asset returns: theory and evidence . The Review of Economics and Statistics , 84 : 381 – 406 .
- Gençay , R and Xu , Z . 2003 . Scaling, self-similarity and multifractality in FX markets . Physica A , 323 : 578 – 90 .
- Górski , AZ , Drożdż , S and Speth , J . 2002 . Financial multifractality and its subtleties: an example of DAX . Physica A , 316 : 496 – 510 .
- Mandelbrot , BB , Fisher , A and Calvet , L . 1997 . “ A multifractal model of asset returns ” . In Cowles Foundation Discussion Paper no. 1164
- Mandelbrot , BB and Van Ness , JW . 1968 . Fractional Brownian motions, fractional noises and applications . SIAM Review , 10 : 422 – 37 .
- Matia , K , Ashkenazy , Y and Stanley , H. E . 2003 . Multifractal properties of price fluctuations of stocks and commodities . Europhysics Letters , 61 ( 3 ) : 422 – 28 .
- Péltier , RF and Lévy Véhel , J . 1995 . “ Multifractional Brownian motion: definition and preliminary results ” . In Rapport de recherché de l’INRIA, no. 2645
- Schmitt , F , Schertzer , D and Lovejoy , S . 2000 . Multifractal fluctuations in finance . International Journal of Theoretical and Applied Finance , 3 ( 3 ) : 361 – 64 .
- Turiel , AJ and Pérez-Vicente , CJ . 2002 . Multifractal geometry in stock market time series . Physica A , 322 : 629 – 49 .