Multifractality: Theory and Evidence an Application to the French Stock Market

Jérôme Fillol ()
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Jérôme Fillol: MODEM - CNRS

Economics Bulletin, 2003, vol. 3, issue 31, 1-12

Abstract: This article presents the basics of multifractal modelling and shows the multifractal properties of the French Stock Market (CAC40). Monte Carlo simulations prove that the Multifractal Model of Asset Returns (MMAR) is a better model to replicate the scaling properties observed in the CAC40 series than alternative specifications like GARCH or FIGARCH.

Keywords: Multifractal; model (search for similar items in EconPapers)
JEL-codes: C5 (search for similar items in EconPapers)
Date: 2003-11-29
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Citations: View citations in EconPapers (13)

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