A Markov-switching multifractal approach to forecasting realized volatility
Year of publication: |
2011
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Authors: | Lux, Thomas ; Morales-Arias, Leonardo ; Sattarhoff, Cristina |
Publisher: |
Kiel : Kiel Inst. for the World Economy |
Subject: | Kapitaleinkommen | Capital income | Börsenkurs | Share price | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Physik | Physics | Markov-Kette | Markov chain | Nichtlineare Dynamik | Nonlinear dynamics | Zeitreihenanalyse | Time series analysis | Momentenmethode | Method of moments | Theorie | Theory | Ökonophysik | Econophysics |
Extent: | Online-Ressource (PDF-Datei: 48 S., 1,29 MB) graph. Darst. |
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Series: | Kiel working paper. - Kiel : [Verlag nicht ermittelbar], ISSN 1862-1155, ZDB-ID 2107612-1. - Vol. 1737 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
Language: | English |
Notes: | Systemvoraussetzungen: Acrobat Reader |
Other identifiers: | hdl:10419/52415 [Handle] |
Classification: | C20 - Econometric Methods: Single Equation Models. General ; G12 - Asset Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
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