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

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 Institute for the World Economy (IfW)
Subject:	multifractal processes \| random measures \| stochastic volatility \| forecasting

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Series:	Kiel Working Paper ; 1860
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	756790433 [GVK] hdl:10419/78711 [Handle] RePEc:zbw:ifwkwp:1860 [RePEc]
Classification:	C20 - Econometric Methods: Single Equation Models. General ; F37 - International Finance Forecasting and Simulation ; G15 - International Financial Markets ; G17 - Financial Forecasting
Source:	EconStor

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010317979