Multifractal models in finance: Their origin, properties, and applications

Mawuli Segnon and Thomas Lux

No 1860, Kiel Working Papers from Kiel Institute for the World Economy (IfW Kiel)

Abstract: 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.

Keywords: multifractal processes; random measures; stochastic volatility; forecasting (search for similar items in EconPapers)
JEL-codes: C20 F37 G15 G17 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:zbw:ifwkwp:1860

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