Forecasting volatility of commodity, currency, and stock markets : evidence from Markov switching multifractal models
Year of publication: |
[2023]
|
---|---|
Authors: | Liu, Ruipeng ; Segnon, Mawuli ; Cepni, Oguzhan ; Gupta, Rangan |
Publisher: |
Pretoria, South Africa : Department of Economics, University of Pretoria |
Subject: | Multifractal processes | Volatility co-movement | Commodity returns | Foreign exchange returns | Stock returns | Volatilität | Volatility | Kapitaleinkommen | Capital income | Wechselkurs | Exchange rate | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model | Theorie | Theory | Markov-Kette | Markov chain | Aktienmarkt | Stock market | Börsenkurs | Share price | Devisenmarkt | Foreign exchange market |
Extent: | 1 Online-Ressource (circa 35 Seiten) |
---|---|
Series: | Department of Economics working paper series. - Pretoria : Department of Economics, University of Pretoria, ZDB-ID 3031297-8. - Vol. 2023, 40 (December 2023) |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
Language: | English |
Other identifiers: | hdl:11159/652767 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Forecasting volatility under fractality, regime-switching, long memory and student-t innovations
Lux, Thomas, (2009)
-
Modeling persistence and long memory under the impact of regime shifts in the PIGS stock market
Kumar, Dilip, (2013)
-
Rodriguez, Gabriel, (2017)
- More ...
-
Modeling and forecasting crude oil price volatility: Evidence from historical and recent data
Lux, Thomas, (2015)
-
Balcilar, Mehmet, (2016)
-
Segnon, Mawuli, (2015)
- More ...