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 multifractal processes for the modelling of financial returns. In that paper, multifractal processes are defined by a scaling law for moments of the processes' increments over finite...
