Yalamova, Rossitsa - In: Asian Academy of Management Journal of Accounting and … 2 (2006) 1, pp. 63-83
This paper argues for the superiority of multifractal over ARCH methods where the objective is to understand market microstructure based on accurate volatility modeling. The paper examines the multifractality of index price series on daily data of Nikkei 225, All Ordinaries, Hang Seng, KLSE...