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Multifractal scenarios for products of geometric Levy-based stationary models

Denisov, Denis and Leonenko, Nikolai 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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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: 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: 02 Jul 2019 09:54
URI: http://orca.cf.ac.uk/id/eprint/89613

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