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~subject:"Realized volatility"
~institution:"Institut für Weltwirtschaft (IfW)"
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Realized volatility
international volatility forecasting
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long memory
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multiplicative volatility models
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English
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Lux, Thomas
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Morales-Arias, Leonardo
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Sattarhoff, Cristina
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Institut für Weltwirtschaft (IfW)
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A Markov-switching Multifractal Approach to Forecasting
Realized
Volatility
Lux, Thomas
;
Morales-Arias, Leonardo
;
Sattarhoff, Cristina
-
Institut für Weltwirtschaft (IfW)
-
2011
for
realized
volatility (RV). We estimate the RV-MSM model via Generalized Method of Moments and perform forecasting by …
Persistent link: https://www.econbiz.de/10009351451
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