Search Results - subject:"Multifractal model"

True and Apparent Scaling: The Proximity of the Markov- Switching Multifractal Model to Long-Range Dependence

Liu, Ruipeng; Di Matteo, Tiziana; Lux, Thomas - Institut für Volkswirtschaftslehre, … - 2007

multifractal model (MSM). In order to see how well the estimated models capture the temporal dependence of the data, we estimate … models. In most cases the multifractal model appears to generate `apparent' long memory in agreement with the empirical …

Persistent link: https://www.econbiz.de/10005082842

Predicting volatility using the Markov-switching multifractal model: Evidence from S&P 100 index and equity options

Chuang, Wen-I; Huang, Teng-Ching; Lin, Bing-Huei - In: The North American Journal of Economics and Finance 25 (2013) C, pp. 168-187

In this paper, we evaluate the performance of the ability of Markov-switching multifractal (MSM), implied, GARCH, and historical volatilities to predict realized volatility for both the S&P 100 index and equity options. Some important findings are as follows. First, we find that the ability of...

Persistent link: https://www.econbiz.de/10010679170

Predicting volatility using the Markov-switching multifractal model : evidence from S&P 100 index and equity options

Chuang, Wen-i; Huang, Teng-ching; Lin, Bing-huei - In: The North American journal of economics and finance : a … 25 (2013), pp. 168-187

Persistent link: https://www.econbiz.de/10009779311

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

Fillol, Jérôme - In: Economics Bulletin 3 (2003) 31, pp. 1-12

Market (CAC40). Monte Carlo simulations prove that the Multifractal Model of Asset Returns (MMAR) is a better model to …

Persistent link: https://www.econbiz.de/10010835755

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

Fillol, Jérôme - In: Economics Bulletin 3 (2003) 31, pp. 1-12

Market (CAC40). Monte Carlo simulations prove that the Multifractal Model of Asset Returns (MMAR) is a better model to …

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

Long-term vs. short-term comovements in stock markets: the use of Markov-switching multifractal models

Idier, Julien - In: The European Journal of Finance 17 (2011) 1, pp. 27-48

During financial crises, interest is strong for analysing market comovements. However, a majority of these analyses is based only on correlations. This article uses Markov switching multifractal models to derive new indicators by considering different horizons for dependency among four stock...

Persistent link: https://www.econbiz.de/10008773665

Long-term vs. short-term comovements in stock markets : the use of Markov-switching multifractal models

Idier, Julien - In: The European journal of finance 17 (2011) 1/2, pp. 27-48

Persistent link: https://www.econbiz.de/10009155466

True and apparent scaling: The proximity of the Markov-switching multifractal model to long-range dependence

Liu, Ruipeng; Di Matteo, T.; Lux, Thomas - In: Physica A: Statistical Mechanics and its Applications 383 (2007) 1, pp. 35-42

cases the multifractal model appears to generate ‘apparent’ long memory in agreement with the empirical scaling laws. …

Persistent link: https://www.econbiz.de/10010591500

Large Deviations and the Distribution of Price Changes

Calvet, Laurent; Fisher, Adlai; Mandelbrot, Benoit - Cowles Foundation for Research in Economics, Yale University - 1997

The Multifractal Model of Asset Returns ("MMAR," see Mandelbrot, Fisher, and Calvet, 1997) proposes a class of …

Persistent link: https://www.econbiz.de/10005463933

A Multifractal Model of Asset Returns

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 … (1968). In contrast to FBM, the multifractal model displays long dependence in the absolute value of price increments, while …

Persistent link: https://www.econbiz.de/10005249160