Multifractal models in finance: Their origin, properties, and applications
作者： Mawuli Segnon , Thomas Lux
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摘要: This chapter provides an overview over the recently developed so called multifractal (MF) approach for modeling and forecasting volatility. We outline genesis of this from similar models turbulent flows in statistical physics provide details on different specifications time series finance, available methods their estimation, current state empirical applications.
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