Multifractality and long-range dependence of asset returns : the scaling behaviour of the Markov-switching multifractal model with lognormal volatility components
Year of publication: |
2008
|
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Other Persons: | Liu, Ruipeng (contributor) ; Di Matteo, Tiziana (contributor) ; Lux, Thomas (contributor) |
Publisher: |
Kiel : Univ., Dep. of Economics |
Subject: | Kapitaleinkommen | Capital income | Volatilität | Volatility | Finanzmarkt | Financial market | Markov-Kette | Markov chain | Statistische Verteilung | Statistical distribution | Theorie | Theory |
Extent: | Online-Ressource, 13 S., Text graph. Darst. |
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Series: | Economics working paper. - Kiel : Univ., Dep. of Economics, ISSN 2193-2476, ZDB-ID 2111620-9. - Vol. 2008,09 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
Language: | English |
Notes: | Systemvoraussetzungen: Acrobat Reader |
Source: | ECONIS - Online Catalogue of the ZBW |
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