|
| |
| Jérôme Fillol |
| |
| ''Multifractality: Theory and Evidence an Application to the French Stock Market'' |
| ( 2003, Vol. 3 No.31 ) |
| |
| |
| This article presents the basics of multifractal modelling and shows the multifractal properties of the French Stock Market (CAC40). Monte Carlo simulations prove that the Multifractal Model of Asset Returns (MMAR) is a better model to replicate the scaling properties observed in the CAC40 series than alternative specifications like GARCH or FIGARCH. |
| |
| |
| Keywords: Multifractal model |
JEL: C5 - Econometric Modeling: General
|
| |
| Manuscript Received : Nov 28 2003 | | Manuscript Accepted : Nov 29 2003 |
|
