A Comparison of Multifractal Models for Assets Returns in Economic Perspective
This paper compares multifractal models for assets returns from four aspects of economic perspective: ability of reproducing stylized facts, support of economic theory, accuracy of forecasting and explaining, mathematical elegancy and computational parsimony. All the multifractal models, according to their hypotheses and logic, can be classified into three categories, the representatives of which are MRW, MSM and SEMF respectively. Comparing with the models in classical finance, the multifractal models have better forecasting performance and more excellent ability to reproduce stylized facts. MRW has a little preponderance in reproducing stylized facts but fewer literature and empirical estimated method than MSM. MSM has more preponderance in dealing with multi-frequency asset returns than MRW. SEMF is better than MRW and MSM in four aspects of economic perspective but has the least literature and empirical estimated method than MSM or MRW. The SEMF and its extend models have extraordinary advantage and glamour for economists and are worth further research.
Multifractal Models for Assets Returns Economic Perspective Multifractality of Financial Time-series Stylized Facts
Jian Zhong Xin Zhao
College of Economics and Business AdministrationChongqing UniversityChongqing 400030, China College of Economics and Management Southwest University Chongqing 400715, China
国际会议
武汉
英文
320-324
2011-10-17（万方平台首次上网日期，不代表论文的发表时间）