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  • Search: subject:"Multi-Fractal process Long-memory Volatility forecasting Generalized method of moments"
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Economics and Social Sciences 1 Faculty of Business 1 Multi-Fractal process Long-memory Volatility forecasting Generalized method of moments 1 Multi-fraktal Prozess Langzeitabhängigkeit Prognose der Volatilität Verallgemeinerte Method der Momente 1 Wirtschafts- und Sozialwissenschaftliche Fakultät 1
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Hwa Taek Lee 1
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The Markov switching multi-fractal model of asset returns : estimation and forecasting of dynamic volatility with multinomial specificaitons
Hwa Taek Lee - 2007
The Makov-Switching Multifractal Model(MSM) is a new model for the time series of retuns in finance. It can generate various degree of long range dependence in different powers of returns. We extend this model with trinomial - and dronomial specification. Generalized method of moment(GMM) and...
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