Mandelbrot, Benoit; Fisher, Adlai; Calvet, Laurent - Cowles Foundation for Research in Economics, Yale University - 1997
This paper presents the multifractal model of asset returns ("MMAR"), based upon the pioneering research into … multifractal measures by Mandelbrot (1972, 1974). The multifractal model incorporates two elements of Mandelbrot's past research …-stable distributions. In contrast to Mandelbrot (1963), this model does not necessarily imply infinite variance. Second. the model contains …