Estimation of the Stylized Facts of a Stochastic Cascade Model
We present a time series model that integrates properties from Levy-type and multifractal models. Formally, it is a stochastic volatility model with discrete time steps, t-distributed return innovations and a stochastic cascade for the volatility process. This model reproduces very well different stylized facts which cannot be reproduced together by other classes of models. We also present an estimation procedure based on the reproduction of stylized facts. This procedure is general and can easily be adapted and/or extended to other models. It may be considered as an extension of the generalized method of moments.
|Date of creation:||2005|
|Date of revision:|
|Publication status:||Published by:|
|Contact details of provider:|| Postal: |
Phone: +32 (0)2 650.48.64
Fax: +32 (0)2 650.41.88
Web page: http://difusion.ulb.ac.be
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Laurent Calvet & Adlai Fisher & Benoit Mandelbrot, 1997. "Large Deviations and the Distribution of Price Changes," Cowles Foundation Discussion Papers 1165, Cowles Foundation for Research in Economics, Yale University.
- Calvet, Laurent & Fisher, Adlai, 2001.
"Forecasting multifractal volatility,"
Journal of Econometrics,
Elsevier, vol. 105(1), pages 27-58, November.
- Laurent Calvet, 2000. "Forecasting Multifractal Volatility," Harvard Institute of Economic Research Working Papers 1902, Harvard - Institute of Economic Research.
- Laurent Calvet & Adlai Fisher, 1999. "Forecasting Multifractal Volatility," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-017, New York University, Leonard N. Stern School of Business-.
- Ernst Eberlein & Sebastian Raible, 1999. "Term Structure Models Driven by General Lévy Processes," Mathematical Finance, Wiley Blackwell, vol. 9(1), pages 31-53.
- Laurent Calvet & Adlai Fisher & Benoit Mandelbrot, 1999.
"A Multifractal Model of Assets Returns,"
New York University, Leonard N. Stern School Finance Department Working Paper Seires
99-072, New York University, Leonard N. Stern School of Business-.
- W. Breymann & A. Dias & P. Embrechts, 2003. "Dependence structures for multivariate high-frequency data in finance," Quantitative Finance, Taylor & Francis Journals, vol. 3(1), pages 1-14.
- Muller, Ulrich A. & Dacorogna, Michel M. & Dave, Rakhal D. & Olsen, Richard B. & Pictet, Olivier V. & von Weizsacker, Jacob E., 1997. "Volatilities of different time resolutions -- Analyzing the dynamics of market components," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 213-239, June.
- Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, vol. 36, pages 394.
- Olivier V. Pictet & Michel M. Dacorogna & Ulrich A. Muller, 1996. "Hill, Bootstrap and Jackknife Estimators for Heavy Tails," Working Papers 1996-12-10, Olsen and Associates.
- Adlai Fisher & Laurent Calvet & Benoit Mandelbrot, 1997. "Multifractality of Deutschemark/US Dollar Exchange Rates," Cowles Foundation Discussion Papers 1166, Cowles Foundation for Research in Economics, Yale University.
When requesting a correction, please mention this item's handle: RePEc:sol:wpaper:05-009. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Benoit Pauwels)
If references are entirely missing, you can add them using this form.