How to forecast long-run volatility : regime switching and the estimation of multifractal processes
Year of publication: |
2004
|
---|---|
Authors: | Calvet, Laurent E. ; Fisher, Adlai J. |
Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 2.2004, 1, p. 49-83
|
Subject: | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Theorie | Theory | Autokorrelation | Autocorrelation |
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