A Markov-switching Multifractal Approach to Forecasting Realized Volatility
Year of publication: |
2011-10
|
---|---|
Authors: | Lux, Thomas ; Morales-Arias, Leonardo ; Sattarhoff, Cristina |
Institutions: | Institut für Weltwirtschaft (IfW) |
Subject: | Realized volatility | multiplicative volatility models | long memory | international volatility forecasting |
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