Forecasting multifractal volatility
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Cites work
- scientific article; zbMATH DE number 50702 (Why is no real title available?)
- scientific article; zbMATH DE number 5243765 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- Convergence of stochastic processes
- Long memory processes and fractional integration in econometrics
- Martingales and arbitrage in multiperiod securities markets
- Modeling and pricing long memory in stock market volatility
- On rational belief equilibria
- Stochastic Calculus
- The Distribution of Realized Exchange Rate Volatility
Cited in
(60)- Multifrequency jump-diffusions: An equilibrium approach
- Log-normal continuous cascade model of asset returns: aggregation properties and estimation
- Scaling and multiscaling in financial series: a simple model
- Do `complex' financial models really lead to complex dynamics? Agent-based models and multifractality
- Approximate maximum likelihood for complex structural models
- Forecasting non-stationary time series by wavelet process modelling
- MULTIFRACTAL ANALYSIS WITH DETRENDING WEIGHTED AVERAGE ALGORITHM OF HISTORICAL VOLATILITY
- How do capital structure and economic regime affect fair prices of bank's equity and liabilities?
- TOWARDS A MULTIFRACTAL PARADIGM OF STOCHASTIC VOLATILITY?
- The scale of predictability
- A switching self-exciting jump diffusion process for stock prices
- Multi-scale description and prediction of financial time series
- Long memory and multifractality: a joint test
- Multifractal value at risk model
- Forecasting stock market in high and low volatility periods: a modified multifractal volatility approach
- The skewed multifractal random walk with applications to option smiles
- Forecasting volatility in bitcoin market
- Multiscale estimation of processes related to the fractional Black-Scholes equation
- Volatility comovement: a multifrequency approach
- Impulse control of pension fund contributions, in a regime switching economy
- What is beneath the surface? Option pricing with multifrequency latent states
- Asymptotic behavior of the maximum likelihood estimator for general Markov switching models
- Multifractal regime detecting method for financial time series
- Multi-scaling in finance
- A dynamical approach to stock market fluctuations
- Continuous-time skewed multifractal processes as a model for financial returns
- Through the looking glass: indirect inference via simple equilibria
- Limit theorems for multifractal products of geometric stationary processes
- Nonlinear analysis on cross-correlation of financial time series by continuum percolation system
- Financial power laws: empirical evidence, models, and mechanisms
- Generation-by-generation dissection of the response function in long memory epidemic processes
- Option pricing and hedging with minimum local expected shortfall
- Temporal aggregation of random walk processes and implications for economic analysis
- Superposition of Diffusions with Linear Generator and its Multifractal Limit Process
- Modelling stock price movements: multifractality or multifractionality?
- A MIXED MULTIFRACTAL ANALYSIS FOR QUASI-AHLFORS VECTOR-VALUED MEASURES
- Fractional Generalized Random Fields of Variable Order
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- Multi-scaling of moments in stochastic volatility models
- Continuous cascade models for asset returns
- Testing the type of a semi-martingale: Itō against multifractal
- Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching
- Modeling of financial processes with a space-time fractional diffusion equation of varying order
- Gradual multifractal reconstruction of time-series: formulation of the method and an application to the coupling between stock market indices and their Hölder exponents
- Fractality of profit landscapes and validation of time series models for stock prices
- Optimal approximations of power laws with exponentials: application to volatility models with long memory
- Forecasting volatility with the multifractal random walk model
- The relationship between return fractality and bipower variation
- BLACK–SCHOLES–MERTON IN RANDOM TIME: A NEW STOCHASTIC VOLATILITY MODEL WITH PATH DEPENDENCE
- Measuring multiscaling in financial time-series
- Short-term volatility forecasting with kernel support vector regression and Markov switching multifractal model
- Series representation of the pricing formula for the European option driven by space-time fractional diffusion
- A Markov-switching multifractal inter-trade duration model, with application to US equities
- Multifractal characteristics and return predictability in the Chinese stock markets
- Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data
- Convergence and monotonicity of the hormone levels in a hormone-based content delivery system
- Forecasting volatility under fractality, regime-switching, long memory and Student-\(t\) innovations
- Bad environments, good environments: a non-Gaussian asymmetric volatility model
- ECONOPHYSICS AND ECONOMIC COMPLEXITY
- Markov fundamental tensor and its applications to network analysis
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