Volatility and correlation forecasting, Handbook of Economic Forecasting, 2005. ,
Random cascades on wavelet dyadic trees, Journal of Mathematical Physics, vol.39, issue.8, pp.4124-4164, 1998. ,
DOI : 10.1063/1.532489
Analytic evaluation of volatility forecasts, CIRANO Working Paper, 2002. ,
Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study, Journal of Econometrics, vol.91, issue.1, pp.61-87, 1999. ,
DOI : 10.1016/S0304-4076(98)00049-9
Order flow, transaction clock and normality of asset returns, Journal of Finance, vol.9, pp.2259-2284, 2000. ,
Conditional heteroskedasticity in time series of stock returns : evidence and forecasts, Journal of Business, vol.62, pp.55-80, 1989. ,
Experimental Analysis of Self-Similarity and Random Cascade Processes: Application to Fully Developed Turbulence Data, Journal de Physique II, vol.7, issue.2, pp.363-370, 1997. ,
DOI : 10.1051/jp2:1997130
URL : https://hal.archives-ouvertes.fr/jpa-00248448
???Direct??? causal cascade in the stock market, The European Physical Journal B, vol.2, issue.2, pp.277-282, 1998. ,
DOI : 10.1007/s100510050250
Handbook of Mathematical Functions, American Journal of Physics, vol.34, issue.2, 1965. ,
DOI : 10.1119/1.1972842
Gmm estimation of a stochastic volatility model : A monte carlo study, Journal of Business & Economic Statistics, vol.14, pp.328-352, 1996. ,
Statistical fluid mechanics, 1975. ,
Wavelet analysis of long-range-dependent traffic, IEEE Transactions on Information Theory, vol.44, issue.1, pp.2-15, 1998. ,
DOI : 10.1109/18.650984
Théorie de la spéculation, 1900. ,
Poissonian products of random weights : uniform convergence and related measures, Rev. Math. Ibero-Amer, vol.19, pp.1-44, 2003. ,
Evaluating the Markov Property in Studies of Economic Convergence, International Regional Science Review, vol.26, issue.3, pp.363-392, 2003. ,
DOI : 10.1177/0160017603253789
Identification of the hurst exponent of a step multifractional brownian motion, Statistical Inference for Stochastic Processes, vol.3, issue.1/2, pp.101-111, 1998. ,
DOI : 10.1023/A:1009997729317
Fractionally integrated generalized autoregressive conditional heteroskedasticity, Journal of Econometrics, vol.74, issue.1, pp.3-30, 1996. ,
DOI : 10.1016/S0304-4076(95)01749-6
ARCH modeling in finance, Journal of Econometrics, vol.52, issue.1-2, pp.5-59, 1992. ,
DOI : 10.1016/0304-4076(92)90064-X
Heavy-tailed probability distributions in the world wide web Introduction to time series and forecasting, 1996. ,
Multifractal random walk, Physical Review E, vol.64, issue.2, pp.26103-026106, 2001. ,
DOI : 10.1103/PhysRevE.64.026103
URL : https://hal.archives-ouvertes.fr/hal-00012439
Risk management and quantile estimation Statistics for long-memory processes, Chapman & Hall A comparison of stable and student distribution as statistical models for stock prices, Ber94] J. Beran, pp.244-280, 1974. ,
Econometric modelling of stock market intraday activity Regular variation, encyclopedia of mathematics and its applications Gausian processes and pseudodifferential elliptic operators, Bil68] P. Billingsley, Convergence of probability measures, pp.19-90, 1968. ,
Continuous cascade models for asset returns Studies of stock market volatility changes, Proceedings of the American Statistical Association, Business and Economic Statistics Section, pp.177-181, 1976. ,
Multifractal products of cylindrical pulses, Probability Theory and Related Fields, vol.124, issue.3, pp.409-430, 2002. ,
DOI : 10.1007/s004400200220
Log-Infinitely Divisible Multifractal Processes, Communications in Mathematical Physics, vol.236, issue.3, pp.449-475, 2003. ,
DOI : 10.1007/s00220-003-0827-3
URL : https://hal.archives-ouvertes.fr/hal-00012441
Singularity spectrum of fractal signals from wavelet analysis: Exact results, Journal of Statistical Physics, vol.36, issue.3-4, pp.635-674, 1993. ,
DOI : 10.1007/BF01053588
Leverage Effect in Financial Markets: The Retarded Volatility Model, Physical Review Letters, vol.87, issue.22, p.228701, 2001. ,
DOI : 10.1103/PhysRevLett.87.228701
Processes of normal inverse Gaussian type, Finance and Stochastics, vol.2, issue.1, pp.41-68, 1998. ,
DOI : 10.1007/s007800050032
Lévy processes ? theory and applications, 2001. ,
Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics, Journal of the Royal Statistical Society: Series B (Statistical Methodology), vol.63, issue.2, pp.167-241, 2001. ,
DOI : 10.1111/1467-9868.00282
SEMIFAR forecasts, with applications to foreign exchange rates, Journal of Statistical Planning and Inference, vol.80, issue.1-2, pp.137-153, 1999. ,
DOI : 10.1016/S0378-3758(98)00247-X
A generalized autoregressive conditional heteroskedasticity, Journal of Econometrics, vol.31, pp.307-327, 1986. ,
Variations breite und mittlerer fehler, Sitzungsberichte der Berliner Mathematischen Gesellschaft, vol.21, pp.3-11, 1922. ,
Power laws in economics and finance : some ideas from physics, Quantitative Finance, vol.1, pp.105-112, 2001. ,
Theory of financial risk and derivative pricing, 2003. ,
DOI : 10.1017/CBO9780511753893
URL : https://hal.archives-ouvertes.fr/hal-00121107
A brief account of microscopical observations made in the months of june, july and august, 1827, on the particles contained in the pollen of plants ; and on the general existence of active molecules in organic and inorganic bodies, Philosophical Magazine, vol.4, pp.161-173, 1928. ,
The Pricing of Options and Corporate Liabilities, Journal of Political Economy, vol.81, issue.3, pp.637-654, 1973. ,
DOI : 10.1086/260062
Intermittency and coherent structures in a swirling flow: A wavelet analysis of joint pressure and velocity measurements, Physics of Fluids, vol.11, issue.11, pp.3524-3539, 1999. ,
DOI : 10.1063/1.870210
The temperature of turbulent flows, Journal de Physique II France, vol.6, pp.105-114, 1996. ,
Geostatistics : Modeling spatial uncertainty, 1999. ,
Glass transition of a particle in a random potential, front selection in nonlinear renormalization group, and entropic phenomena in Liouville and sinh-Gordon models, Physical Review E, vol.63, issue.2, pp.26110-026144, 2001. ,
DOI : 10.1103/PhysRevE.63.026110
Long-term and short-term price memory in the stock market, Economics Letters, vol.49, issue.3, pp.287-293, 1995. ,
DOI : 10.1016/0165-1765(95)00690-H
Moments and Cumulants in the Specification of Distributions, Revue de l'Institut International de Statistique / Review of the International Statistical Institute, vol.5, issue.4, pp.307-320, 1937. ,
DOI : 10.2307/1400905
Forecasting multifractal volatility, Journal of Econometrics, vol.105, issue.1, pp.27-58, 2001. ,
DOI : 10.1016/S0304-4076(01)00069-0
URL : https://hal.archives-ouvertes.fr/hal-00477952
How to Forecast Long-Run Volatility: Regime Switching and the Estimation of Multifractal Processes, Journal of Financial Econometrics, vol.2, issue.1, pp.49-83, 2004. ,
DOI : 10.1093/jjfinec/nbh003
URL : https://hal.archives-ouvertes.fr/hal-00478472
Large deviation theory and the distribution of price changes, Cowles Foundation Paper, p.1165, 1997. ,
Velocity probability density functions of high Reynolds number turbulence, Physica D: Nonlinear Phenomena, vol.46, issue.2, pp.46-177, 1990. ,
DOI : 10.1016/0167-2789(90)90035-N
Stochastic Volatility for Levy Processes, Mathematical Finance, vol.29, issue.2, pp.345-382, 2003. ,
DOI : 10.1016/0304-405X(76)90022-2
URL : https://hal.archives-ouvertes.fr/halshs-00144385
Multidimensional infinitely divisible cascades, The European Physical Journal B, vol.51, pp.229-243, 2006. ,
Long memory in foreign-exchanges rates, Journal of Business and Economic Statistics, vol.11, pp.93-101, 1993. ,
Arbitrage in fractional brownian motion models, Finance and Stochastics, vol.7, pp.533-553, 2003. ,
Evaluating interval forecasts, International Economic Review, vol.39, pp.841-862, 1998. ,
From discrete to continuous stochastic calculus, Stochastics An International Journal of Probability and Stochastic Processes, vol.52, issue.3, pp.173-192, 1995. ,
DOI : 10.1080/17442509508833970
A search for long memory in international stock market returns, Journal of International Money and Finance, vol.14, issue.4, pp.597-615, 1995. ,
DOI : 10.1016/0261-5606(95)93616-U
A subordinated stochastic process model with finite variance for speculative prices, Econometrica, vol.41, pp.135-156, 1973. ,
Remarkable features of multiplier distributions in turbulence, European Turbulence Conference VIII, 2000. ,
Backtesting Value-at-Risk: A Duration-Based Approach, Journal of Financial Econometrics, vol.2, issue.1, pp.84-108, 2004. ,
DOI : 10.1093/jjfinec/nbh004
Scaling in stock market data : stable laws and beyond, Scale invariance and beyond, 1997. ,
On Non-Scale-Invariant Infinitely Divisible Cascades, Int. Symp. on Physics in Signal and Image Processing, 2003. ,
DOI : 10.1109/TIT.2004.842570
An algorithm for the machine calculation of complex Fourier series, Mathematics of Computation, vol.19, issue.90, pp.297-301, 1965. ,
DOI : 10.1090/S0025-5718-1965-0178586-1
Information arrivals and intraday exchange rate volatility, Department of Accounting and Finance, The Management School, 1996. ,
Efficient parameter estimation for self-similar processes, The annals of Statistics, vol.17, pp.1749-1766, 1989. ,
Modeling volatility persistence of speculative returns: A new approach, Journal of Econometrics, vol.73, issue.1, pp.185-215, 1996. ,
DOI : 10.1016/0304-4076(95)01737-2
An introduction to high frequency finance, 2001. ,
Tests for Hurst effect, Biometrika, vol.74, issue.1, pp.95-101, 1987. ,
DOI : 10.1093/biomet/74.1.95
Fixed points of the smoothing transformation, Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete, pp.281-285, 1983. ,
DOI : 10.1007/BF00532962
Non-central limit theorems for non-linear functional of Gaussian fields, Zeitschrift f???r Wahrscheinlichkeitstheorie und Verwandte Gebiete, vol.31, issue.No. 1, pp.27-52, 1979. ,
DOI : 10.1007/BF00535673
A geographical model for the daily and weekly seasonal volatility in the foreign exchange market, Journal of International Money and Finance, vol.12, issue.4, pp.413-438, 1993. ,
DOI : 10.1016/0261-5606(93)90004-U
Temporal Aggregation of Garch Processes, Econometrica, vol.61, issue.4, pp.909-927, 1993. ,
DOI : 10.2307/2951767
Fast and Exact Simulation of Stationary Gaussian Processes through Circulant Embedding of the Covariance Matrix, SIAM Journal on Scientific Computing, vol.18, issue.4, pp.1088-1107, 1997. ,
DOI : 10.1137/S1064827592240555
Classical potential theory and its probabilistic counterpart, 2001. ,
The fitting of time series models, Rev. Inst. Int. Stat, vol.28, pp.233-243, 1960. ,
Modelling the persistence of conditional variances, Econometric Reviews, vol.48, issue.1, pp.1-87, 1986. ,
DOI : 10.1111/j.1467-9892.1984.tb00382.x
¨ Uber die von der molekularkinetischen theorie der wärme geforderte bewegung von in ruhenden flüssigkeiten suspendierten teilchen, Ann. Phys, vol.17, pp.549-560, 1905. ,
Modelling of extremal events in insurance and finance, ZOR Zeitschrift f???r Operations Research Mathematical Methods of Operations Research, vol.73, issue.1, 1997. ,
DOI : 10.1007/BF01440733
New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model, The Journal of Business, vol.71, issue.3, pp.371-406, 1998. ,
DOI : 10.1086/209749
Autoregressive conditional heteroskedasticity with estimates of the variance of u.k. inflation, Econometrica, vol.50, pp.987-1008, 1982. ,
Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data, Econometrica, vol.66, issue.5, pp.1127-1162, 1998. ,
DOI : 10.2307/2999632
How heavy are the tails of a stationary HARCH(k) process ? a study of the moments, preprint, 1996. ,
Fractal geometry of finance time series, Fractals, vol.3, pp.609-616, 1995. ,
The behavior of stock market price, Journal of Business, vol.38, pp.34-195, 1965. ,
Multifractality of deutschmark/us dollar exchange rate, p.1166, 1997. ,
An introduction to probability theory and its applications, 1968. ,
A maximum likelihood approach for non-gaussian stochastic volatility models, Journal of Business and Economic Statistics, vol.16, pp.284-291, 1971. ,
Fully developped turbulence and intermittency, Proc. of Int. Summer school Phys. Enrico Fermi, 1985. ,
Expected stock returns and volatility, Journal of Financial Economics, vol.19, issue.1, pp.3-29, 1987. ,
DOI : 10.1016/0304-405X(87)90026-2
Limiting forms of the frequency distribution of the largest or smallest member of a sample, Proc. Camb, pp.180-190, 1928. ,
DOI : 10.1017/S0305004100015681
The asymptotic theory of extreme order statistics, 1987. ,
Bubbles, Crashes and Intermittency in Agent Based Market Models, SSRN Electronic Journal, vol.31, pp.421-437, 2003. ,
DOI : 10.2139/ssrn.315939
Turbulent cascades in foreign exchange markets, Nature, vol.386, pp.767-770, 1996. ,
Every minute counts in financial markets, Journal of International Money and Finance, vol.10, issue.1, pp.23-52, 1991. ,
DOI : 10.1016/0261-5606(91)90025-F
Statistical methods in finance, of Handbook of Statistics, chapter Stochastic Volatility, pp.128-198, 1995. ,
Limit distributions for sums of independent random variables, Translated from the Russian, annotated, and revised by K. L. Chung. With appendices by J. L. Doob and P. L. Hsu, 1968. ,
Inverse cubic law for the distribution of stock price variations, The European Physical Journal B, vol.3, issue.2, pp.139-140, 1998. ,
DOI : 10.1007/s100510050292
Simple tests for the validity of correlation function models on the circle, Statistics and Probability Letters, vol.39, pp.119-122, 1998. ,
Implicit Renewal Theory and Tails of Solutions of Random Equations, The Annals of Applied Probability, vol.1, issue.1, pp.126-166, 1991. ,
DOI : 10.1214/aoap/1177005985
News and the foreign exchange market, Proc. Manchester Statist. Soc, pp.1-79, 1989. ,
Scaling of the distribution of fluctuations of financial market indices, Physical Review E, vol.60, pp.5305-5316, 1999. ,
CLT and other limit theorems for functionals of Gaussian processes, Zeitschrift f??r Wahrscheinlichkeitstheorie und verwandte Gebiete, vol.50, issue.2, pp.191-212, 1985. ,
DOI : 10.1007/BF02451428
Large sample properties of generalized method of moments estimators, Econometrica, vol.50, pp.1029-1054, 1982. ,
A closed-form solution for options with stochastic volatility with applications to bond and currency options, The Review of Financial Studies, vol.6, pp.327-343, 1993. ,
Fractal measures and their singularities : the caracterization of strange sets, Physical Review A, vol.33, pp.1141-1151, 1986. ,
Financial price fluctuation in a stock market model with many interacting agents, ISE Finance Award Series, vol.2, pp.1-28, 2001. ,
Long-term storage : An experimental study, 1965. ,
Multifractal formalism for functions, part 1 : Results valid for all functions, SIAM J. Math. Anal, vol.28, pp.944-970, 1997. ,
A Test for Normality of Observations and Regression Residuals, International Statistical Review / Revue Internationale de Statistique, vol.55, issue.2, pp.163-172, 1987. ,
DOI : 10.2307/1403192
Analysis methods for fractional brownian motion : theory and comparative results, Traitement du Signal, vol.18, pp.419-436, 2001. ,
Bayesian analysis of sttochastic volatility models, Journal of Business & Economics Statistics, vol.12, pp.69-87, 1994. ,
Positive martingales and random measures, Chi. Ann. of Math, vol.8, pp.1-12, 1987. ,
A theorem of I. schur and its impact on modern signal processing " in Schur methods in operator theory and signal processing, pp.9-30, 1986. ,
Random difference equation and renewal theory for product of random matrices, Acta Mathematica, vol.131, pp.207-248, 1973. ,
Wienersche spiralen und einige andere interessante kurven in hilbertschen raum, Comptes Rendus (Doklady) Acad. Sci. USSR (N.S.), vol.26, pp.115-118, 1940. ,
Sur certaines martingales de Benoit Mandelbrot, Advances in Mathematics, vol.22, issue.2, pp.131-145, 1976. ,
DOI : 10.1016/0001-8708(76)90151-1
Microeconomic Models for Long Memory in the Volatility of Financial Time Series, Studies in Nonlinear Dynamics and Econometrics, vol.5, issue.4, pp.281-302, 2002. ,
DOI : 10.1162/10811820160130260
Techniques for verifying the accuracy of risk measurement models, Journal of Derivatives, vol.2, pp.73-84, 1995. ,
NEW INSIGHTS INTO THE ESTIMATION OF SCALING EXPONENTS, International Journal of Wavelets, Multiresolution and Information Processing, vol.02, issue.04, pp.497-523, 2004. ,
DOI : 10.1142/S0219691304000597
Semi-stable processes, Transaction of American mathematical society, vol.104, pp.62-78, 1962. ,
Théorie de l'addition des variables aléatoires, Gauthier-Villars, 1937. ,
The wiener rms error criterion in filter design and prediction, J. Math. Phys, vol.25, pp.261-278, 1947. ,
R/S Analysis Strange Attractors, Fractals, vol.06, issue.02, pp.95-100, 1998. ,
DOI : 10.1142/S0218348X98000110
Asymptotic Theory for the Garch(1,1) Quasi-Maximum Likelihood Estimator, Econometric Theory, vol.6, issue.01, pp.29-52, 1994. ,
DOI : 10.2307/2951782
An extension of a functional equation of poincaré and mandelbrot, Asian Journal of Mathematics, vol.6, pp.145-168, 2002. ,
Persistence in variance, structural change, and the garch model, Journal of Business & Economic Statistics, vol.8, pp.225-234, 1990. ,
Introduction au calcul stochastique appliqués appliquésà la finance, Ellipses, 1997. ,
Extremes and related properties of random sequences and processes, 1983. ,
DOI : 10.1007/978-1-4612-5449-2
Long-term memory in stock market prices, Econometrica, vol.59, pp.1279-1313, 1991. ,
On the self-similar nature of ethernet traffic, IEEE/ACM Transaction on Networking, pp.1-15, 1994. ,
The socio-economic dynamics of speculative markets: interacting agents, chaos, and the fat tails of return distributions, Journal of Economic Behavior & Organization, vol.33, issue.2, pp.143-165, 1998. ,
DOI : 10.1016/S0167-2681(97)00088-7
The microstructure approach to excnge rates, 2001. ,
The variation of certain speculative prices, Journal of Business, vol.36, pp.394-419, 1963. ,
Multifractal stationary random measures and multifractal random walks with log infinitely divisible scaling laws, Physical Review E, vol.66, issue.5, pp.56121-056150, 2002. ,
DOI : 10.1103/PhysRevE.66.056121
Wavelets and multifractal formalism for singular signals: Application to turbulence data, Physical Review Letters, vol.67, issue.25, pp.3515-3518, 1991. ,
DOI : 10.1103/PhysRevLett.67.3515
Extreme values and fat tails of multifractal fluctuations, Physical Review E, vol.73, issue.6, p.66114, 2006. ,
DOI : 10.1103/PhysRevE.73.066114
Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis, Journal of Banking and Finance, vol.14, pp.1189-1208, 1990. ,
Modelling fluctuations of financial time series: from cascade process to stochastic volatility model, The European Physical Journal B, vol.17, issue.3, pp.537-548, 2000. ,
DOI : 10.1007/s100510070131
Fractals and intrinsic time,a challenge to econometricians, preprint, O& A Research Group, 1995. ,
Volatilities of different time resolutions -analysing the dynamics of market components, Journal of Empirical Finance, vol.4, pp.213-239, 1997. ,
Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach, Journal of Empirical Finance, vol.7, issue.3-4, pp.271-300, 2000. ,
DOI : 10.1016/S0927-5398(00)00012-8
A multifractal model of asset returns, Cowles Foundation Discussion Paper, p.1164, 1997. ,
Uber die variationsbreite einer beobachtungsreihe, Sitzungsberichte der Berliner Mathematischen Gesellschaft, vol.22, pp.3-8, 1923. ,
Fractional brownian motions, fractional gaussian noises and applications, SIAM Review, vol.10, pp.422-437, 1954. ,
Scaling exponents and multifractal dimensions for independent random cascades, Comm. in Math. Phys, vol.179, pp.681-702, 1996. ,
Inverse Measures, the Inversion Formula, and Discontinuous Multifractals, Advances in Applied Mathematics, vol.18, issue.1, pp.50-58, 1997. ,
DOI : 10.1006/aama.1996.0500
Causal space-time multifractal process : predictability and forecasting of rain fields, Journal of Geophysical Research, vol.101, issue.26, pp.333-346, 1996. ,
On the Distribution of Stock Price Differences, Operations Research, vol.15, issue.6, pp.1057-1062, 1967. ,
DOI : 10.1287/opre.15.6.1057
Robust r/s analysis of long-run serial correlation, Bulletin of the International Statistical Institute, vol.48, pp.69-99, 1979. ,
Pricing foreign currency options with stochastic volatility, Journal of Econometrics, vol.45, issue.1-2, pp.239-265, 1990. ,
DOI : 10.1016/0304-4076(90)90100-8
The evaluation of economic forecasts, 1969. ,
Conditional heteroskedasticity in asset pricing : a new approach, Econometrica, vol.59, pp.347-370, 1991. ,
Power laws, pareto distributions and zipf's law, Contemporary Physics, vol.46, pp.323-351, 2005. ,
Infinitely divisible distributions in turbulence, Phys. Rev. E, vol.50, pp.3303-3305, 1994. ,
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix, Econometrica, vol.55, issue.3, pp.703-708, 1987. ,
DOI : 10.2307/1913610
Le pouvoir de la finance, 1999. ,
Statistical estimation for multiplicative cascades, The Ann. of Stat, vol.28, pp.1533-1560, 2000. ,
The econometrics of financial markets, Journal of Empirical Finance, vol.3, issue.1, pp.15-102, 1996. ,
DOI : 10.1016/0927-5398(95)00020-8
The skewed multifractal random walk with applications to option smiles, Quantitative Finance, vol.14, issue.4, pp.303-314, 2002. ,
DOI : 10.1016/S0378-4371(00)00554-9
URL : https://hal.archives-ouvertes.fr/hal-00133191
Turbulence and predictability in geophysical fluid dynamics and climate dynamics, Proc. of Int. School, 1985. ,
Scaling of the distribution of fluctuations of financial market indices, Physical Review E, vol.60, pp.6519-6529, 1999. ,
Statistical inference using extreme order statistics, Annals of Statistics, vol.3, pp.119-131, 1975. ,
Multifractional brownian motion : definition and preliminary results, 1996. ,
URL : https://hal.archives-ouvertes.fr/inria-00074045
Multifractal processes in finance and pricing of options by minimisation of extremal risks, 2003. ,
Statistiques quadratiques pour le brownien fractionnaire, 1995. ,
Alternative models for conditional stock volatility, Journal of Econometrics, vol.45, issue.1-2, pp.267-290, 1990. ,
DOI : 10.1016/0304-4076(90)90101-X
Multiscaling and clustering of volatility, Physica A: Statistical Mechanics and its Applications, vol.269, issue.1, pp.140-147, 1999. ,
DOI : 10.1016/S0378-4371(99)00088-6
Decomposition of self-similar stable mixed moving averages, pp.412-452, 2002. ,
Empirical cross-section dynamics in economic growth, European Economic Review, vol.37, pp.426-434, 1993. ,
Lévy processes in finance : theory numerics and empirical facts, 2000. ,
A multifractal wavelet model with application to network traffic, IEEE Transactions on Information Theory, vol.45, issue.3, pp.992-1089, 1999. ,
DOI : 10.1109/18.761337
Extreme values, regular variation and point processes, 1987. ,
DOI : 10.1007/978-0-387-75953-1
Arbitrage with brownian motion, Math. Finance, vol.7, pp.95-105, 1997. ,
Spectral representations of infinitely divisible processes, Probability Theory and Related Fields, vol.15, issue.3, pp.451-487, 1989. ,
DOI : 10.1007/BF00339998
Rational theory of warrant pricing, Industrial Management Review, vol.6, pp.13-32, 1965. ,
The estimation of economic relationship using instrumental variables, Econometrica, vol.26, pp.393-415, 1958. ,
Lévy processes and infinitely divisible distributions, 1999. ,
Bemerkninger om et multipelt integral, Norsk Matematisk Tidsskrift, vol.26, pp.71-78, 1944. ,
Estimation of stochastic volatility models via Monte Carlo maximum likelihood, Journal of Econometrics, vol.87, issue.2, pp.271-301, 1998. ,
DOI : 10.1016/S0304-4076(98)00016-5
Universal scaling laws in fully developed turbulence, Physical Review Letters, vol.72, issue.3, pp.336-339, 1994. ,
DOI : 10.1103/PhysRevLett.72.336
Empirical determination of universal multifractal exponents in turbulent velocity fields, Physical Review Letters, vol.68, issue.3, pp.305-308, 1992. ,
DOI : 10.1103/PhysRevLett.68.305
Stochastique equation generating continuous multiplicative cascades, European Physical Journal B, vol.20, pp.3-6, 2001. ,
Critical phenomena in natural sciences, 2003. ,
MULTIFRACTAL FLUCTUATIONS IN FINANCE, International Journal of Theoretical and Applied Finance, vol.03, issue.03, pp.361-364, 2000. ,
DOI : 10.1142/S0219024900000206
Convergence of intergrated processes of arbitrary hermite rank, Z. Wahrscheinlichkeitstheorie verw. Gebiete, vol.50, pp.53-83, 1979. ,
Modelling financial time series, 1986. ,
Multifractal Wavelet Filter of Natural Images, Physical Review Letters, vol.85, issue.15, pp.3325-3328, 2000. ,
DOI : 10.1103/PhysRevLett.85.3325
Stable non-gaussian random processes, 1994. ,
Lévy distributions, Physics World, vol.10, pp.42-45, 1997. ,
A critical look at Lo's modified R/S statistic, Journal of Statistical Planning and Inference, vol.80, issue.1-2, pp.211-227, 1999. ,
DOI : 10.1016/S0378-3758(98)00250-X
The incremental volatility information in one million foreign exchange quotations, Journal of Empirical Finance, vol.4, issue.4, pp.317-340, 1995. ,
DOI : 10.1016/S0927-5398(97)00010-8
Multi-affine analysis of typical currency exchange rates, The European Physical Journal B, vol.4, issue.2, pp.257-261, 1998. ,
DOI : 10.1007/s100510050376
Gaussian semiparametric estimation of non-stationary time series, Journal of Time Series Analysis, vol.20, pp.87-127, 1999. ,
Numerical recipes in C : the art of scientific computing, 1993. ,
Levy-stables distributions and fractal structure on the paris market : an empirical examination, Proceedings of the 1st AFIR international colloquium, pp.241-259, 1990. ,
The predictive ability of several models of exchange rate volatility, Journal of Econometrics, vol.69, issue.2, pp.367-391, 1995. ,
DOI : 10.1016/0304-4076(94)01654-I
The evaluation of the collision matrix, Physical review, vol.80, pp.268-272, 1950. ,
Regression-based tests of predictive ability, Iternational Economic Review, vol.39, pp.817-840, 1998. ,
DOI : 10.3386/t0226
The influence of fluctuations in energy dissipation on the shape of turbulence characteristics in the inertial interval, Soviet Physics Doklady, vol.11, pp.26-29, 1966. ,
Relative frequency as a determinant of phonetic change, Harvard Studies in Classical Philology, vol.15, pp.1-95, 1929. ,