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.

Download English (PDF, 60 pages, 888 KB)
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
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