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  • Search: subject:"Multifractal processes"
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Year of publication
Subject
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Multifractal processes 12 Volatility 9 Volatilität 9 GARCH 8 Forecasting model 7 Prognoseverfahren 7 Time series analysis 7 Zeitreihenanalyse 7 SPA test 6 ARCH model 5 ARCH-Modell 5 Crude oil prices 5 Statistical test 5 Statistischer Test 5 Theorie 5 Theory 5 multifractal processes 5 Stochastic process 4 Stochastischer Prozess 4 heavy tails 4 Bitcoin 3 Estimation 3 Financial market 3 Finanzmarkt 3 Schätzung 3 forecasting 3 random measures 3 stochastic volatility 3 Börsenkurs 2 Capital income 2 Estimation theory 2 Extreme Value Theory 2 FIGARCH 2 Kapitaleinkommen 2 MMAR 2 Markov chain 2 Markov-Kette 2 Markov-switching GARCH 2 Oil price 2 Risikomaß 2
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Online availability
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Free 12 Undetermined 4 CC license 1
Type of publication
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Book / Working Paper 13 Article 6
Type of publication (narrower categories)
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Working Paper 8 Arbeitspapier 5 Graue Literatur 5 Non-commercial literature 5 Article in journal 4 Aufsatz in Zeitschrift 4 Article 1 Conference Paper 1
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Language
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English 14 Undetermined 5
Author
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Segnon, Mawuli 12 Lux, Thomas 10 Gupta, Rangan 8 Dev, Priya 2 Jiang, Chuxuan 2 Maglione, Federico 2 Maller, Ross A. 2 Bekiros, Stelios 1 Cepni, Oguzhan 1 Decrouez, Geoffrey 1 Hambly, Ben 1 Jones, Owen Dafydd 1 Liu, Ruipeng 1 Sattarhoff, Cristina 1 Segnon, Mawuli K. 1 Trede, Mark 1
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Institution
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Department of Economics, Faculty of Economic and Management Sciences 1 Dipartimento di Economia, Università Ca' Foscari Venezia 1 Institut für Volkswirtschaftslehre, Christian-Albrechts-Universität Kiel 1 Institut für Weltwirtschaft (IfW) 1
Published in...
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FinMaP-Working Paper 2 Finmap working paper 2 Annals of finance 1 Beiträge zur Jahrestagung des Vereins für Socialpolitik 2010: Ökonomie der Familie - Session: Asset Price Dynamics 1 Department of Economics working paper series 1 Energy economics 1 FinMaP-Working Papers 1 Journal of Risk and Financial Management 1 Journal of risk and financial management : JRFM 1 Kiel Working Paper 1 Kiel Working Papers 1 Kiel working paper 1 Stochastic Processes and their Applications 1 The European journal of finance 1 Working Papers / Department of Economics, Faculty of Economic and Management Sciences 1 Working Papers / Dipartimento di Economia, Università Ca' Foscari Venezia 1 Working papers 1
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Source
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ECONIS (ZBW) 9 EconStor 5 RePEc 5
Showing 1 - 10 of 19
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Forecasting volatility of commodity, currency, and stock markets : evidence from Markov switching multifractal models
Liu, Ruipeng; Segnon, Mawuli; Cepni, Oguzhan; Gupta, Rangan - 2023
Persistent link: https://www.econbiz.de/10014448138
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A hypothesis test method for detecting multifractal scaling, applied to Bitcoin prices
Jiang, Chuxuan; Dev, Priya; Maller, Ross A. - In: Journal of Risk and Financial Management 13 (2020) 5, pp. 1-21
Multifractal processes reproduce some of the stylised features observed in financial time series, namely heavy tails … functions of both an iid Student t-distributed process and a Brownian Motion in Multifractal Time (BMMT), a multifractal … processes constructed in Mandelbrot et al. (1997). Concavity measures of the respective scaling functions are estimated, and it …
Persistent link: https://www.econbiz.de/10012611333
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A hypothesis test method for detecting multifractal scaling, applied to Bitcoin prices
Jiang, Chuxuan; Dev, Priya; Maller, Ross A. - In: Journal of risk and financial management : JRFM 13 (2020) 5/104, pp. 1-21
Multifractal processes reproduce some of the stylised features observed in financial time series, namely heavy tails … functions of both an iid Student t-distributed process and a Brownian Motion in Multifractal Time (BMMT), a multifractal … processes constructed in Mandelbrot et al. (1997). Concavity measures of the respective scaling functions are estimated, and it …
Persistent link: https://www.econbiz.de/10012304977
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Cover Image
Forecasting volatility in bitcoin market
Segnon, Mawuli; Bekiros, Stelios - In: Annals of finance 16 (2020) 3, pp. 435-462
Persistent link: https://www.econbiz.de/10012496404
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Modeling and forecasting crude oil price volatility: Evidence from historical and recent data
Lux, Thomas; Segnon, Mawuli; Gupta, Rangan - 2015
This paper uses the Markov-switching multifractal (MSM) model and generalized autoregressive conditional heteroscedasticity (GARCH)-type models to forecast oil price volatility over the time periods from January 02, 1875 to December 31, 1895 and from January 03, 1977 to March 24, 2014. Based on...
Persistent link: https://www.econbiz.de/10010491278
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Modeling and Forecasting Carbon Dioxide Emission Allowance Spot Price Volatility: Multifractal vs. GARCH-type Volatility Models
Segnon, Mawuli; Lux, Thomas; Gupta, Rangan - 2015
This paper applies Markov-switching multifractal (MSM) processes to model and forecast carbon dioxide (CO2) emission price volatility, and compares their forecasting performance to the standard GARCH, fractionally integrated GARCH (FIGARCH) and the two-state Markov-switching GARCH (MS-GARCH)...
Persistent link: https://www.econbiz.de/10011306665
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Multifractality in Finance: A deep understanding and review of Mandelbrot's MMAR
Maglione, Federico - Dipartimento di Economia, Università Ca' Foscari Venezia - 2015
Benoît Mandelbrot, the father of Fractal Geometry, developed a multifractal model for describing price changes. Despite the commonly used models, such as the Brownian motion, the Mutifractal Model of Asset Return (MMAR) takes into account scale-consistency, long-range dependence and heavy...
Persistent link: https://www.econbiz.de/10011200021
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Modeling and forecasting crude oil price volatility: Evidence from historical and recent data
Lux, Thomas; Segnon, Mawuli; Gupta, Rangan - Institut für Volkswirtschaftslehre, … - 2015
This paper uses the Markov-switching multifractal (MSM) model and generalized autoregressive conditional heteroscedasticity (GARCH)-type models to forecast oil price volatility over the time periods from January 02, 1875 to December 31, 1895 and from January 03, 1977 to March 24, 2014. Based on...
Persistent link: https://www.econbiz.de/10011203171
Saved in:
Cover Image
Modeling and forecasting crude oil price volatility : evidence from historical and recent data
Lux, Thomas; Segnon, Mawuli; Gupta, Rangan - 2015
This paper uses the Markov-switching multifractal (MSM) model and generalized autoregressive conditional heteroscedasticity (GARCH)-type models to forecast oil price volatility over the time periods from January 02, 1875 to December 31, 1895 and from January 03, 1977 to March 24, 2014. Based on...
Persistent link: https://www.econbiz.de/10010488966
Saved in:
Cover Image
Modeling and forecasting carbon dioxide emission allowance spot price volatility : multifractal vs. GARCH-type volatility models
Segnon, Mawuli; Lux, Thomas; Gupta, Rangan - 2015
This paper applies Markov-switching multifractal (MSM) processes to model and forecast carbon dioxide (CO2) emission price volatility, and compares their forecasting performance to the standard GARCH, fractionally integrated GARCH (FIGARCH) and the two-state Markov-switching GARCH (MS-GARCH)...
Persistent link: https://www.econbiz.de/10011296114
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