Multifractal models via products of geometric OU-processes: Review and applications
This paper reviews a class of multifractal models obtained via products of exponential Ornstein–Uhlenbeck processes driven by Lévy motion. Given a self-decomposable distribution, conditions for constructing multifractal scenarios and general formulas for their Renyi functions are provided. Together with several examples, a model with multifractal activity time is discussed and an application to exchange data is presented.
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Volume (Year): 392 (2013)
Issue (Month): 1 ()
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- Emanuele Taufer & Nikolai Leonenko & Marco Bee, 2009.
"Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models,"
DISA Working Papers
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- Cajueiro, Daniel O. & Tabak, Benjamin M., 2007. "Long-range dependence and multifractality in the term structure of LIBOR interest rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 373(C), pages 603-614.
- Wang, Yudong & Wei, Yu & Wu, Chongfeng, 2011. "Analysis of the efficiency and multifractality of gold markets based on multifractal detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(5), pages 817-827.
- Jiang, Zhi-Qiang & Zhou, Wei-Xing, 2008. "Multifractality in stock indexes: Fact or Fiction?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(14), pages 3605-3614.
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