Performance of the Multifractal Model of Asset Returns (MMAR): Evidence from Emerging Stock Markets
In this study, the performance of the Multifractal Model of Asset Returns (MMAR) was examined for stock index returns of four emerging markets. The MMAR, which takes into account stylized facts of financial time series, such as long memory, fat tails and trading time, was developed as an alternative...
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| Format: | Article |
| Language: | English |
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MDPI AG
2016-05-01
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| Series: | International Journal of Financial Studies |
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| Online Access: | http://www.mdpi.com/2227-7072/4/2/11 |