density and failure (hazard) rate of the distribution of shocks. When shocks have heavy tails, aggregate effort can decrease …

Multifractal processes reproduce some of the stylised features observed in financial time series, namely heavy tails … be established; however, this is not a straightforward task, particularly in the presence of heavy tails. We develop an … empirical hypothesis test to identify whether a time series is likely to exhibit multifractal scaling in the presence of heavy …