Kiel Working Papers, Kiel Institute for World Economics
No 1860:
Multifractal Models in Finance: Their Origin, Propterties, and Applications
Mawuli Segnon and Thomas Lux
Abstract: This chapter provides an overview over the recently
developed so called multifractal (MF) approach for modeling and forecasting
volatility. We outline the genesis of this approach from similar models of
turbulent flows in statistical physics and provide details on different
specifications of multifractal time series models in finance, available
methods for their estimation, and the current state of their empirical
applications
Keywords: Multifractal processes, random measures, stochastic volatility, forecasting; (follow links to similar papers)
JEL-Codes: C20,; F37,; G15; (follow links to similar papers)
58 pages, August 2013
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