The volatility specification of the Markov-switching Multifractal (MSM) model is proposed as an alternative mechanism for realized volatility (RV). We estimate the RV-MSM model via Generalized Method of Moments and perform forecasting by means of best linear forecasts derived via the...

We adapt the multifractal random walk model by Bacry et al. (2001) to realized volatilities (denoted RV-MRW) and take stock of recent theoretical insights on this model in Duchon et al. (2012) to derive forecasts of financial volatility. Moreover, we propose a new extension of the binomial...

This paper challenges the question of existence and predictability of underwriting cycles in the U.S. property and casualty insurance industry. Using an approach in the frequency domain, we demonstrate the existence of a hidden periodic component in annual aggregated loss ratios. The data...