Markov-Switching Multifractal Models within GAMLSS

This paper reports on concepts and methods to incorporate the Markov-Switching Multifractal model for stochastic volatility introduced by Calvet and Fisher (2004) within the GAMLSS model introduced by Rigby and Stasinopoulos (2005), allowing generalization to a non-normal distribution. The software implementation is written in R and the models are fitted and compared using maximum likelihood estimation

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Year of publication:	2011
Authors:	Djennad, Abdelmajid
Other Persons:	Rigby, Robert (contributor) ; Stasinopoulos, Dimitrios (contributor) ; Voudouris, Vlasios (contributor)
Publisher:	[2011]: [S.l.] : SSRN
Subject:	Markov-Kette \| Markov chain \| Theorie \| Theory \| Zeitreihenanalyse \| Time series analysis

Extent:	1 Online-Ressource (4 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: 26th International Workshop on Statistical Modelling (IWSM), 2011 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 8, 2011 erstellt
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013127214