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.
- Multifractal processes
- random measures
- stochastic volatility