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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- Taufer, Emanuele & Leonenko, Nikolai & Bee, Marco, 2011.
"Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models,"
Computational Statistics & Data Analysis,
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- Emanuele Taufer & Nikolai Leonenko & Marco Bee, 2009. "Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models," DISA Working Papers 0907, Department of Computer and Management Sciences, University of Trento, Italy, revised 02 Dec 2009.
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- Gu, Rongbao & Chen, Hongtao & Wang, Yudong, 2010. "Multifractal analysis on international crude oil markets based on the multifractal detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(14), pages 2805-2815.
- 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.
- 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 & Wu, Chongfeng & Pan, Zhiyuan, 2011. "Multifractal detrending moving average analysis on the US Dollar exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(20), pages 3512-3523. Full references (including those not matched with items on IDEAS)
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