This paper develops analytical methods to forecast the distribution of future returns for a new continuous-time process, the Poisson multifractal. Out model captures the thick tails and volatility persistence exhibited by many financial time series. We assume that the forecaster knows the true...

We propose a discrete-time stochastic volatility model in which regimeswitching serves three purposes. First, changes in regimes capture low frequency variations, which is their traditional role. Second, they specify intermediate frequency dynamics that are usually assigned to smooth...