Multifraktale Modelle von Finanzrenditen: Multivariate Erweiterungen, empirische Schätzung und Anwendung im Risikomanagement

• Applicant: Professor Dr. Thomas Lux
• Subject Area: Accounting and Finance
• Term: from 2008 to 2013
• Project identifier: Deutsche Forschungsgemeinschaft (DFG) - Project number 85521665

The present proposal builds upon the earlier work on inference methods for multifractal models and their practical applications by our group and the findings of the first phase of the project. In summary, we will address three main issues. The first issue will be the development of a multifactor framework for portfolio allocation with the MSM model. The second issue is the application of the volatility apparatus of the multivariate MSM model together with multivariate best linear forecasts developed in the first phase of the project to forecasting multivariate realized volatility. Lastly, we will embarque with research on the estimation and application of a continuous-time version of the MSM.

• DFG Programme: Research Grants