English, Article, Journal or magazine article edition: Estimation of the Stylized Facts of a Stochastic Cascade Model. Céline Azizieh; Wolfgang Breymann

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Bookmark: http://trove.nla.gov.au/version/110946
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Estimation of the Stylized Facts of a Stochastic Cascade Model.
Author
  • Céline Azizieh
  • Wolfgang Breymann
Physical Description
  • preprint
Notes
  • We present a time series model that integrates properties from Levy-type and multifractal models. Formally, it is a stochastic volatility model with discrete time steps, t-distributed return innovations and a stochastic cascade for the volatility process. This model reproduces very well different stylized facts which cannot be reproduced together by other classes of models. We also present an estimation procedure based on the reproduction of stylized facts. This procedure is general and can easily be adapted and/​or extended to other models. It may be considered as an extension of the generalized method of moments.
  • stochastic cascade, multifractal models, stochastic volatility
  • RePEc:sol:wpaper:05-009
Language
  • English
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