462 citations · 1.5k across the 41 of their papers we have counts for
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math.PR2008★ 2 cited
Multifractal analysis in a mixed asymptotic framework
Emmanuel Bacry, Arnaud Gloter, Marc Hoffmann +1
Multifractal analysis of multiplicative random cascades is revisited within the framework of {\em mixed asymptotics}. In this new framework, statistics are estimated over a sample…
q-fin.ST2008★ 9 cited
Log-Normal continuous cascades: aggregation properties and estimation. Application to financial time-series
E. Bacry, A. Kozhemyak, J. -F. Muzy
Log-normal continuous random cascades form a class of multifractal processes that has already been successfully used in various fields. Several statistical issues related to this m…