Inference for nonlinear state space models: A comparison of different methods applied to Markov-switching multifractal models
Year of publication: |
2018
|
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Authors: | Lux, Thomas |
Publisher: |
Kiel : Kiel University, Department of Economics |
Subject: | partially observed Markov processes | state space models | Markov-switching mulitfracted model | nonlinear filtering | forecasting of volatility |
Series: | Economics Working Paper ; 2018-07 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 1029440646 [GVK] hdl:10419/181491 [Handle] RePEc:zbw:cauewp:201807 [RePEc] |
Classification: | C20 - Econometric Methods: Single Equation Models. General ; G15 - International Financial Markets |
Source: |
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Lux, Thomas, (2018)
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Fernandez-Perez, Adrian, (2014)
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Multifractal Models in Finance: Their Origin, Propterties, and Applications
Segnon, Mawuli, (2013)
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Long-term stochastic dependence in financial prices: evidence from the German stock market
Lux, Thomas, (1996)
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The effects of a financial transaction tax in an artificial financial market
Fricke, Daniel, (2015)
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Ghonghadze, Jaba, (2015)
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