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 Institute for the World Economy (IfW) |
Subject: | realized volatility | multiplicative volatility models | long memory | international volatility forecasting |
Series: | Kiel Working Paper ; 1737 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 670381101 [GVK] hdl:10419/52415 [Handle] RePEc:zbw:ifwkwp:1737 [RePEc] |
Classification: | C20 - Econometric Methods: Single Equation Models. General ; G12 - Asset Pricing |
Source: |
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A Markov-switching Multifractal Approach to Forecasting Realized Volatility
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A Markov-switching Multifractal Approach to Forecasting Realized Volatility
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