The Markov-Switching Multifractal Model of asset returns : GMM estimation and linear forecasting of volatility
Year of publication: |
2006
|
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Other Persons: | Lux, Thomas (contributor) |
Publisher: |
Kiel : Univ., Dep. of Economics |
Subject: | Statistische Physik | Kapitaleinkommen | Capital income | Börsenkurs | Share price | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Physik | Physics | Markov-Kette | Markov chain | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Nichtlineare Dynamik | Nonlinear dynamics | Momentenmethode | Method of moments |
Extent: | Online-Ressource, 37 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. 2006,17 |
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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