Multifractality: Theory and Evidence an Application to the French Stock Market

This article presents the basics of multifractal modelling and shows the multifractal properties of the French Stock Market (CAC40). Monte Carlo simulations prove that the Multifractal Model of Asset Returns (MMAR) is a better model to replicate the scaling properties observed in the CAC40 series than alternative specifications like GARCH or FIGARCH.

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Year of publication:	2003
Authors:	Fillol, Jérôme
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 3.2003, 31, p. 1-12
Publisher:	AccessEcon
Subject:	Multifractal model

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Classification:	C5 - Econometric Modeling
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005094614