Statistical tests of distributional scaling properties for financial return series
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DOI: 10.1080/14697688.2017.1298832
Abstract: Existing empirical evidence of distributional scaling in financial returns has helped motivate the use of multifractal processes for modelling return processes. However, this evidence has relied on informal tests that may be unable to reliably… read more here.
Keywords: methodology; distributional scaling; return series; scaling properties ... See more keywords