Khashanah, Khaldoun; Shao, Chenjie Short-term volatility forecasting with kernel support vector regression and Markov switching multifractal model. (English) Zbl 1484.91456 Quant. Finance 22, No. 2, 241-253 (2022). MSC: 91G15 62P05 62M10 PDFBibTeX XMLCite \textit{K. Khashanah} and \textit{C. Shao}, Quant. Finance 22, No. 2, 241--253 (2022; Zbl 1484.91456) Full Text: DOI
Bianchi, Sergio; Pianese, Augusto Modelling stock price movements: multifractality or multifractionality? (English) Zbl 1142.91713 Quant. Finance 7, No. 3, 301-319 (2007). MSC: 91B84 28A80 60H10 60H30 91B28 PDFBibTeX XMLCite \textit{S. Bianchi} and \textit{A. Pianese}, Quant. Finance 7, No. 3, 301--319 (2007; Zbl 1142.91713) Full Text: DOI
Bingham, N. H.; Kiesel, Rüdiger; Schmidt, Rafael A semi-parametric approach to risk management. (English) Zbl 1405.91537 Quant. Finance 3, No. 6, 426-441 (2003). MSC: 91G10 PDFBibTeX XMLCite \textit{N. H. Bingham} et al., Quant. Finance 3, No. 6, 426--441 (2003; Zbl 1405.91537) Full Text: DOI