Forecasting volatility of commodity, currency, and stock markets : evidence from Markov switching multifractal models
Ruipeng Liu (Deakin University), Mawuli Segnon (University of Münster), Oguzhan Cepni (Copenhagen Business School and Ostim Technical University), Rangan Gupta (University of Pretoria)
| 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 | Wechselkurs | Exchange rate | Kapitaleinkommen | Capital income | Schätzung | Estimation | Prognoseverfahren | Forecasting model | Markov-Kette | Markov chain | Zeitreihenanalyse | Time series analysis | Aktienmarkt | Stock market | Devisenmarkt | Foreign exchange market |
freely available
| 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 |
Persistent link: https://www.econbiz.de/10014448138