The Markov-switching multifractal model of asset returns : GMM estimation and linear forecasting of volatility
Thomas Lux
| Year of publication: |
2008
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|---|---|
| Authors: | Lux, Thomas |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 26.2008, 2, p. 194-210
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| Subject: | Kapitaleinkommen | Capital income | Börsenkurs | Share price | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Physik | Physics | Markov-Kette | Markov chain | Nichtlineare Dynamik | Nonlinear dynamics | Zeitreihenanalyse | Time series analysis | Momentenmethode | Method of moments | Theorie | Theory | Ökonophysik | Econophysics |
| 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://ebvufind01.dmz1.zbw.eu/10003675695