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Stochastic Analysis of Scaling Time Series
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Stochastic Analysis of Scaling Time Series (2015)Stochastic Analysis of Scaling Time SeriesStochastic Calculus for Fractional Brownian Motion and Applications (2008)Stochastic Calculus for Fract…Lévy Processes and Stochastic Calculus (2004)Lévy Processes and Stochastic…Applications of Hilbert–Huang transform to non‐stationary financial time series analysis (2003)Applications of Hilbert–Huang…Multifractal detrended fluctuation analysis of nonstationary time series (2002)Multifractal detrended fluctu…Effect of nonstationarities on detrended fluctuation analysis (2002)Effect of nonstationarities o…Multifractal random walk (2001)Multifractal random walkEffect of trends on detrended fluctuation analysis (2001)Effect of trends on detrended…Integration questions related to fractional Brownian motion (2000)Integration questions related…Chance and Stability (1999)Chance and StabilityTurbulent cascades in foreign exchange markets (1996)Turbulent cascades in foreign…Turbulence and financial markets (1996)Turbulence and financial mark…Statistics for Long-Memory Processes. (1996)Statistics for Long-Memory Pr…Simulation and Chaotic Behavior of Alpha-stable Stochastic Processes (1993)Simulation and Chaotic Behavi…Multifractal formalism for fractal signals: The structure-function approach versus the wavelet-transform modulus-maxima method (1993)Multifractal formalism for fr…Wavelets and multifractal formalism for singular signals: Application to turbulence data (1991)Wavelets and multifractal for…Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractional Brownian Motions, …Independence and Dependence (1961)The Typical Spectral Shape of an Economic Variable (1966)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Empirical properties of asset returns: stylized facts and statistical issues (2001)The Typical Spectral Shape of an Economic Variable (2001)Introduction to Econophysics (1999)Detecting long-range correlations with detrended fluctuation analysis (2001)Multifractal detrended cross-correlation analysis for two nonstationary signals (2008)Introduction to Multifractal Detrended Fluctuation Analysis in Matlab (2012)Physical approach to complex systems (2012)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)ARCH modeling in finance (1992)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Some long‐run properties of geophysical records (1969)ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY (1995)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)The Theory of Scale Functions for Spectrally Negative Lévy Processes (2012)Fluctuations of Lévy Processes with Applications (2014)Wiener Integrals with Respect to the Hermite Process and a Non-Central Limit Theorem (2007)Parameter estimation for fractional Ornstein–Uhlenbeck processes (2010)A note on the use of fractional Brownian motion for financial modeling (2012)DCCA cross-correlation coefficient: Quantifying level of cross-correlation (2010)Statistical tests for power-law cross-correlated processes (2011)Wavelet analysis of long-range-dependent traffic (1998)The Distribution of Realized Exchange Rate Volatility (2001)Volatility Is Rough (2018)Are output growth‐rate distributions fat‐tailed? some evidence from OECD countries (2008)Portfolio Performance Evaluation with Generalized Sharpe Ratios: Beyond the Mean and Variance (2008)On development of fractional calculus during the last fifty years (2013)
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References

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  • 2002Multifractal detrended fluctuation analysis of nonstationary time series3,704 cited
  • 1996Statistics for Long-Memory Processes.2,708 cited
  • 2004Lévy Processes and Stochastic Calculus2,055 cited
  • 2001Effect of trends on detrended fluctuation analysis1,298 cited
  • 2008Stochastic Calculus for Fractional Brownian Motion and Applications1,087 cited
  • 2002Effect of nonstationarities on detrended fluctuation analysis958 cited
  • 1991Wavelets and multifractal formalism for singular signals: Application to turbulence data786 cited
  • 1999Chance and Stability719 cited
  • 1996Turbulent cascades in foreign exchange markets643 cited
  • 1993Multifractal formalism for fractal signals: The structure-function approach versus the wavelet-transform modulus-maxima method564 cited
  • 2003Applications of Hilbert–Huang transform to non‐stationary financial time series analysis512 cited
  • 1993Simulation and Chaotic Behavior of Alpha-stable Stochastic Processes490 cited
  • 2001Multifractal random walk456 cited
  • 1996Turbulence and financial markets358 cited

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  • 2000Integration questions related to fractional Brownian motion357 cited
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