Long memory (long-term dependence) of volatility counts as one of the ubiquitous stylized facts of financial data …

forecasting volatility. We outline the genesis of this approach from similar models of turbulent flows in statistical physics and …

) with Lognormal volatility components. In order to see how well estimated models capture the temporal dependency of the … sufficiently many volatility components. In comparison with a Binomial MSM specification [7], results are almost identical. This …

) with Lognormal volatility components. In order to see how well estimated models capture the temporal dependency of the … sufficiently many volatility components. In comparison with a Binomial MSM specification [7], results are almost identical. This … distribution is very limited. -- Markov-switching multifractal ; scaling ; return volatility …

with Lognormal volatility components. In order to see how well estimated models capture the temporal dependency of the … uses sufficiently many volatility components. In comparison with a Binomial MSM specification [11], results are almost …