Arbeitspapier
Multifractal models in finance: Their origin, properties, and applications
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Kiel Working Paper ; No. 1860
- Klassifikation
-
Wirtschaft
Single Equation Models; Single Variables: General
International Finance Forecasting and Simulation: Models and Applications
International Financial Markets
Financial Forecasting and Simulation
- Thema
-
multifractal processes
random measures
stochastic volatility
forecasting
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Segnon, Mawuli
Lux, Thomas
- Ereignis
-
Veröffentlichung
- (wer)
-
Kiel Institute for the World Economy (IfW)
- (wo)
-
Kiel
- (wann)
-
2013
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Segnon, Mawuli
- Lux, Thomas
- Kiel Institute for the World Economy (IfW)
Entstanden
- 2013
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