Author： Allez Romain Rhodes Rémi Vargas Vincent
Publisher： Edp Sciences
E-ISSN： 1262-3318|19|issue|327-360
ISSN： 1292-8100
Source： ESAIM: Probability and Statistics, Vol.19, Iss.issue, 2015-10, pp. : 327-360
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Abstract
We study the asymptotic of the spectral distribution for large empirical covariance matrices composed of independent lognormal Multifractal Random Walk processes. The asymptotic is taken as the observation lag shrinks to
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