Multifractal Models in Finance: Their Origin, Propterties, and Applications
AbstractThis 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
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Bibliographic InfoPaper provided by Kiel Institute for the World Economy in its series Kiel Working Papers with number 1860.
Length: 58 pages
Date of creation: Aug 2013
Date of revision:
Multifractal processes; random measures; stochastic volatility; forecasting;
Find related papers by JEL classification:
- C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
- F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-08-23 (All new papers)
- NEP-ECM-2013-08-23 (Econometrics)
- NEP-FOR-2013-08-23 (Forecasting)
- NEP-ORE-2013-08-23 (Operations Research)
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