A Multifractal Model of Asset Returns

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A Multifractal Model of Asset Returns

Transcript of A Multifractal Model of Asset Returns

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Asset Returns in an Endogenous Growth Model with ...

Asset Returns in an Endogenous Growth Model with ...

Demographic Structure and Asset Returnspages.stern.nyu.edu/~dbackus/BCH/returns/Poterba_demo...DEMOGRAPHIC STRUCTURE AND ASSET RETURNS James M. Poterba* Abstract-This paper investigates

Demographic Structure and Asset Returnspages.stern.nyu.edu/~dbackus/BCH/returns/Poterba_demo...DEMOGRAPHIC STRUCTURE AND ASSET RETURNS James M. Poterba* Abstract-This paper investigates

Modeling the covariance matrix of financial asset returns

Modeling the covariance matrix of financial asset returns

Volatility of Asset Returns - George Mason Universitymason.gmu.edu/~jgentle/HIT_CF/L04_HIT15_Volatility.pdf · Volatility of Asset Returns We will choose 1 year as the time interval.

Volatility of Asset Returns - George Mason Universitymason.gmu.edu/~jgentle/HIT_CF/L04_HIT15_Volatility.pdf · Volatility of Asset Returns We will choose 1 year as the time interval.

Profitability and Stock Returns in Production-Based Asset ... ANNUAL MEETINGS... · 1 Profitability and Stock Returns in Production-Based Asset Pricing with Decreasing Returns to

Profitability and Stock Returns in Production-Based Asset ... ANNUAL MEETINGS... · 1 Profitability and Stock Returns in Production-Based Asset Pricing with Decreasing Returns to

Equilibrium Capital Investment and Asset Returns in ... fileEquilibrium Capital Investment and Asset Returns in Oligopolistic Industries Hitesh Doshi University of Houston Praveen

Equilibrium Capital Investment and Asset Returns in ... fileEquilibrium Capital Investment and Asset Returns in Oligopolistic Industries Hitesh Doshi University of Houston Praveen

$A Multifractal Model of Asset Returns · PDF fileTHIS VERSION TEXT ONLY ... model displays long dependence in the absolute value of price increments, while price ... (1982) and Bollerslev$

A Multifractal Model of Asset Returns · PDF fileTHIS VERSION TEXT ONLY ... model displays long dependence in the absolute value of price increments, while price ... (1982) and Bollerslev

$Large Deviations and the Distribution of Price Changesaldous/206-LD/calvet.pdf · Abstract The Multifractal Model of Asset Returns (\MMAR", See Mandelbrot, Fisher, and Cal-vet, 1997)$

Large Deviations and the Distribution of Price Changesaldous/206-LD/calvet.pdf · Abstract The Multifractal Model of Asset Returns (\MMAR", See Mandelbrot, Fisher, and Cal-vet, 1997)

Estimating Returns for Asset Allocation Returns for Asset Allocation Northfield Asset Allocation Seminar ... expansion of P/E ratios. – Bond returns are upwardly biased by decreases

Estimating Returns for Asset Allocation Returns for Asset Allocation Northfield Asset Allocation Seminar ... expansion of P/E ratios. – Bond returns are upwardly biased by decreases

The contribution of market movements, asset allocation and ... · We decompose Islamic Equity Funds returns into three components: market returns, asset allocation policy returns

The contribution of market movements, asset allocation and ... · We decompose Islamic Equity Funds returns into three components: market returns, asset allocation policy returns

Asset Returns and Economic Growth - Thomas Piketty

Asset Returns and Economic Growth - Thomas Piketty

TERM STRUCTURES OF ASSET PRICES AND RETURNS …

TERM STRUCTURES OF ASSET PRICES AND RETURNS …

Chapter 2 Predictability of Asset returns

Chapter 2 Predictability of Asset returns

Demographic Structure and Asset Returns

Demographic Structure and Asset Returns

Predictability in International Asset Returns: A ReexaminationPredictability in International Asset Returns: A Reexamination February 1999 Abstract This paper argues that inferring

Predictability in International Asset Returns: A ReexaminationPredictability in International Asset Returns: A Reexamination February 1999 Abstract This paper argues that inferring

Long term returns for key U.S. asset classes

Long term returns for key U.S. asset classes

Labor income risk and asset returns Working paper

Labor income risk and asset returns Working paper

Currency Portfolios, Returns and Asset Pricing Tests

Currency Portfolios, Returns and Asset Pricing Tests

Is Information Risk a Determinant of Asset Returns?people.stern.nyu.edu/rengle/pdfs/IAPAug22-01.pdfIs Information Risk a Determinant of Asset Returns? 1. Introduction Asset pricing

Is Information Risk a Determinant of Asset Returns?people.stern.nyu.edu/rengle/pdfs/IAPAug22-01.pdfIs Information Risk a Determinant of Asset Returns? 1. Introduction Asset pricing

Survey Expectations Of Returns And Asset Preview

Survey Expectations Of Returns And Asset Preview

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