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Forecasting daily return densities from intraday data: A multifractal approach

Hallam, Mark and Olmo, Jose (2014) 'Forecasting daily return densities from intraday data: A multifractal approach.' International Journal of Forecasting, 30 (4). 863 - 881. ISSN 0169-2070

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Abstract

This paper proposes a new approach for estimating and forecasting the moments and probability density function of daily financial returns from intraday data. This is achieved through a new application of the distributional scaling laws for the class of multifractal processes. Density forecasts from the new multifractal approach are typically found to provide substantial improvements in predictive ability over existing forecasting methods for the EUR/USD exchange rate, and are also competitive with existing methods when forecasting the daily return density of the S&P500 and NASDAQ-100 equity index.

Item Type: Article
Uncontrolled Keywords: Density forecasts; Volatility forecasting; Multifractal; Unifractal; Intraday; Finance
Subjects: H Social Sciences > HA Statistics
H Social Sciences > HB Economic Theory
H Social Sciences > HG Finance
Divisions: Faculty of Social Sciences > Essex Business School
Faculty of Social Sciences > Essex Business School > Essex Finance Centre
Depositing User: Mark Hallam
Date Deposited: 13 Feb 2017 16:30
Last Modified: 29 Jan 2020 12:15
URI: http://repository.essex.ac.uk/id/eprint/18860

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