This paper reviews a class of multifractal models obtained via products of exponential Ornstein-Uhlenbeck processes driven by L«evy motion. Given a self-decomposable distribution, conditions for constructiong multifractal scenarios and general formulas for their Renyi functions are provided....

This paper reviews a class of multifractal models obtained via products of exponential Ornstein–Uhlenbeck processes driven by Lévy motion. Given a self-decomposable distribution, conditions for constructing multifractal scenarios and general formulas for their Renyi functions are provided....

This paper presents the first empirical investigation of the Multifractal Model of Asset Returns ("MMAR"). The MMAR, developed in Mandelbrot, Fisher, and Calvet (1997), is an alternative to ARCH-type representations for modelling temporal heterogeneity in financial returns. Typically,...