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.
- Language
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Englisch
- Bibliographic citation
-
Series: Kiel Working Paper ; No. 1860
- Classification
-
Wirtschaft
Single Equation Models; Single Variables: General
International Finance Forecasting and Simulation: Models and Applications
International Financial Markets
Financial Forecasting and Simulation
- Subject
-
multifractal processes
random measures
stochastic volatility
forecasting
- Event
-
Geistige Schöpfung
- (who)
-
Segnon, Mawuli
Lux, Thomas
- Event
-
Veröffentlichung
- (who)
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Kiel Institute for the World Economy (IfW)
- (where)
-
Kiel
- (when)
-
2013
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Segnon, Mawuli
- Lux, Thomas
- Kiel Institute for the World Economy (IfW)
Time of origin
- 2013
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