Fisher, Adlai; Calvet, Laurent; Mandelbrot, Benoit - Cowles Foundation for Research in Economics, Yale University - 1997
This paper presents the first empirical investigation of the Multifractal Model of Asset Returns ("MMAR"). The MMAR, developed in Mandelbrot, Fisher, and Calvet (1997), is an alternative to ARCH-type representations for modelling temporal heterogeneity in financial returns. Typically,...
