Multifractal scenarios for products of geometric Lévy-based stationary models

Research output: Contribution to journalArticle

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.

Bibliographical metadata

Original languageEnglish
Pages (from-to)610-643
Number of pages34
JournalStochastic Analysis and Applications
Volume34
Issue number4
Early online date31 May 2016
DOIs
StatePublished - 3 Jul 2016