Long-term vs. short-term comovements in stock markets : the use of Markov-switching multifractal models
Julien Idier
| Year of publication: |
2011
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|---|---|
| Authors: | Idier, Julien |
| Published in: |
The European journal of finance. - Abingdon, Oxon : Routledge, Taylor & Francis Group, ISSN 1351-847X, ZDB-ID 1282412-4. - Vol. 17.2011, 1/2, p. 27-48
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| Subject: | multivariate volatility models | Markov switching multifractal model | transmission | comovements | Volatilität | Volatility | Markov-Kette | Markov chain | Börsenkurs | Share price | Multivariate Analyse | Multivariate analysis | Kapitaleinkommen | Capital income | Aktienmarkt | Stock market | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Theorie | Theory | Schätzung | Estimation |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009155466