On the statistics of scaling exponents and the multiscaling value at risk

@article{Brandi2020OnTS,
  title={On the statistics of scaling exponents and the multiscaling value at risk},
  author={Giuseppe Brandi and Tiziana di Matteo},
  journal={arXiv: Risk Management},
  year={2020}
}
Scaling and multiscaling financial time series have been widely studied in the literature. The research on this topic is vast and still flourishing. One way to analyse the scaling properties of time series is through the estimation of scaling exponents. These exponents are recognized as being valuable measures to discriminate between random, persistent, and anti-persistent behaviours in time series. In the literature, several methods have been proposed to study the multiscaling property and in… Expand
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