Multifractal models in finance : their origin, properties, and applications

by Mawuli Segnon and Thomas Lux

This chapter provides an overview over the recently developed so called multifractal (MF) approach for modeling and forecasting volatility. We outline the genesis of this approach from similar models of turbulent flows in statistical physics and provide details on different specifications of multifractal time series models in finance, available methods for their estimation, and the current state of their empirical applications.

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Year of publication:	2013
Authors:	Segnon, Mawuli ; Lux, Thomas
Publisher:	Kiel : Kiel Inst. for the World Economy
Subject:	Multifractal processes \| random measures \| stochastic volatility \| forecasting \| Theorie \| Theory \| Stochastischer Prozess \| Stochastic process \| Volatilität \| Volatility \| Prognoseverfahren \| Forecasting model \| Zeitreihenanalyse \| Time series analysis \| Finanzmarkt \| Financial market

Extent:	Online-Ressource (58 S.) graph. Darst.
Series:	Kiel working paper. - Kiel : [Verlag nicht ermittelbar], ISSN 1862-1155, ZDB-ID 2107612-1. - Vol. 1860
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Systemvoraussetzungen: Acrobat Reader
Other identifiers:	hdl:10419/78711 [Handle]
Classification:	C20 - Econometric Methods: Single Equation Models. General ; F37 - International Finance Forecasting and Simulation ; G15 - International Financial Markets ; G17 - Financial Forecasting
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10009778581