Estimation of the Stylized Facts of a Stochastic Cascade Model

Céline Azizieh and Wolfgang Breymann

No 05-009.RS, Working Papers CEB from ULB -- Universite Libre de Bruxelles

Abstract: 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.

Keywords: stochastic cascade; multifractal models; stochastic volatility (search for similar items in EconPapers)
JEL-codes: C13 G13 G19 (search for similar items in EconPapers)
Pages: 22 p.
Date: 2005
New Economics Papers: this item is included in nep-ecm and nep-fin
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Citations: View citations in EconPapers (1)

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