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

财务回报的多重分形模型：多元扩展、经验估计及其在风险管理中的应用

• 批准号: 85521665
• 负责人: Professor Dr. Thomas Lux
• 金额: --
• 依托单位: Lehrstuhl für Geld, Währung und Internationale Finanzmärkte
• 依托单位国家: 德国
• 项目类别: Research Grants
• 财政年份: 2008
• 资助国家: 德国
• 起止时间: 2007-12-31 至 2012-12-31
• 项目状态: 已结题
• 来源: https://gepris.dfg.de/gepris/projekt/85521665?language=en
• 关键词: Multifraktale; Modelle; von; Finanzrenditen; Multivariate

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.

本建议建立在我们小组早期对多重分形模型及其实际应用的推理方法的工作和项目第一阶段的发现的基础上。总之，我们将解决三个主要问题。第一个问题将是利用MSM模型为投资组合配置开发一个多因素框架。第二个问题是将多变量MSM模型的波动率装置与项目第一阶段开发的多变量最佳线性预测相结合，用于预测多变量已实现波动率。最后，我们将着手研究MSM的连续时间版本的估计和应用。