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

本提案建立在本小组关于多重分形模型的推断方法及其实际应用的早期工作和该项目第一阶段的调查结果的基础上。总而言之，我们将解决三个主要问题。第一个问题将是利用MSM模型开发投资组合配置的多因素框架。第二个问题是应用多变量MSM模型的波动率工具和项目第一阶段开发的多变量最佳线性预测来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。

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.