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A new GARCH model with higher moments for stock return predictability

Narayan, Paresh Kumar; Liu, Ruipeng - In: Journal of international financial markets, … 56 (2018), pp. 93-103

Persistent link: https://www.econbiz.de/10011984164

Multifractality and Long-Range Dependence of Asset Returns : The Scaling Behavior of the Marcov-Switching Multifractal Model with Lognormal Volatility Components

Di Matteo, Tiziana - 2010

In this paper, we consider daily financial data from various sources (stock market indices, foreign exchange rates and bonds) and analyze their multiscaling properties by estimating the parameters of a Markov-switching multifractal (MSM) model with Lognormal volatility components. In order to...

Persistent link: https://www.econbiz.de/10013150137

Multifractality and long-range dependence of asset returns : the scaling behaviour of the Markov-switching multifractal model with lognormal volatility components

Liu, Ruipeng (contributor); Di Matteo, Tiziana (contributor) - 2008

In this paper we consider daily financial data from various sources (stock market indices, foreign exchange rates and bonds) and analyze their multi-scaling properties by estimating the parameters of a Markov-switching multifractal model (MSM) with Lognormal volatility components. In order to...

Persistent link: https://www.econbiz.de/10003715073