Multifractal Models in Finance: Their Origin, Propterties, 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:	2013-08
Authors:	Segnon, Mawuli ; Lux, Thomas
Institutions:	Institut für Weltwirtschaft (IfW)
Subject:	Multifractal processes \| random measures \| stochastic volatility \| forecasting

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Extent:	application/pdf
Series:	Kiel Working Papers.
Type of publication:	Book / Working Paper
Notes:	58 pages
Classification:	C20 - Econometric Methods: Single Equation Models. General ; F37 - International Finance Forecasting and Simulation ; G15 - International Financial Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010886985