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Massimiliano Frezza

affiliation not provided to SSRN

SCHOLARLY PAPERS

1

DOWNLOADS

136

TOTAL CITATIONS

0

Scholarly Papers (1)

1.

Simulation of Historical Time Series Using MPRE, A Focus on Correlation in Squared Returns

Proceedings of the International Conference on Mathematics, Business and Economics 2011 IASI ROMANIA
Number of pages: 8 Posted: 16 Jul 2011 Last Revised: 20 Jul 2011
Alexandre Pantanella and Massimiliano Frezza
University of Cassino and affiliation not provided to SSRN
Downloads 136 (537,489)

Abstract:

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Multifractional Process with Random Exponent, Financial Time Series, Simulation, Autocorrelation, Stylized Facts