The Markov-switching multi-fractal model of asset returns: GMM estimation and linear forecasting of volatility
Year of publication: |
2004
|
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Authors: | Lux, Thomas |
Institutions: | Institut für Volkswirtschaftslehre, Christian-Albrechts-Universität Kiel |
Subject: | Markov-switching | Multifractal | Forecasting | Volatility | GMM estimation |
Extent: | application/pdf |
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Series: | Economics Working Papers. - ISSN 2193-2476. |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number 2004,11 |
Classification: | C20 - Econometric Methods: Single Equation Models. General ; G12 - Asset Pricing |
Source: |
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Lux, Thomas, (2004)
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Lux, Thomas, (2006)
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