Multivariate probability density functions of returns are constructed in order to model the empirical behavior of returns in a financial time series.

Authors and Affiliations. Metronome-Ricerca sui Mercati Finanziari, via Bogino 23, 10123 Torino, Italy, , , , , , IT. E. Alessio & V. Frappietro. Istituto ...

Second-order moving average and scaling of stochastic time series. Author(s): E Alessio, A Carbone-Wiley, G. Castelli, V. Frappietro. Publication date: 2002 ...

Long-range correlation properties of stochastic time series y(i) have been investigated by introducing the function σ2 MA = [y(i) - (i)]2.

V. Frappietro; L. J. Streckert. Registered: Abstract. Multivariate probability density functions of returns are constructed in order to model the empirical ...

Oct 14, 2003 · Title:Multivariate distribution of returns in financial time series. Authors:E. Alessio, V. Frappietro, M. I. Krivoruchenko, L. J. Streckert.

The purpose of this work is to derive a closed form approximation of the scaling behavior of the DMA variance at large n, i.e., σ DMA 2 ∼ C H n 2 H .

Multifractal formalism for fractal signals: The structure-function approach versus the wavelet-transform modulus-maxima method ... V. Frappietro. Eur.Phys.J.B 27 ...

Jan 2, 2004 · Modeling stylized facts for financial time series. Authors:M. I. Krivoruchenko, E. Alessio, V. Frappietro, L. J. Streckert.

Oct 11, 2018 · This paper proposes a novel and simple approach to compute daily Value at Risk (VaR) and Expected Shortfall (ES) directly from high-frequency ...