Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/78711
Authors: 
Segnon, Mawuli
Lux, Thomas
Year of Publication: 
2013
Series/Report no.: 
Kiel Working Paper 1860
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.
Subjects: 
multifractal processes
random measures
stochastic volatility
forecasting
JEL: 
C20
F37
G15
G17
Document Type: 
Working Paper

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