Publication
Aug 2013
This paper provides an overview of the multifractal approach for modeling and forecasting economic volatility. The authors outline the origins of this approach and discuss different specifications of multifractal time series models in finance, available methods for their estimation, and the state of their empirical applications.
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English (PDF, 60 pages, 888 KB) |
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Author | Mawuli Segnon, Thomas Lux |
Series | Kiel Institute Working Papers |
Issue | 1860 |
Publisher | Kiel Institute for the World Economy |
Copyright | © 2013 Kiel Institute for the World Economy |