Working Paper

Multifractal Models in Finance: Their Origin, Propterties, and Applications

Kiel Working Papers, 1860

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.

Authors

Mawuli Segnon
Thomas Lux

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Publication Date
JEL Classification
C20, F37, G15