Jiang, Chuxuan; Dev, Priya; Maller, Ross A. - In: Journal of risk and financial management : JRFM 13 (2020) 5/104, pp. 1-21
Multifractal processes reproduce some of the stylised features observed in financial time series, namely heavy tails found in asset returns distributions, and long-memory found in volatility. Multifractal scaling cannot be assumed, it should be established; however, this is not a straightforward...
