The Markov-Switching Multifractal Model of Asset Returns: GMM Estimation and Linear Forecasting of Volatility
| Year of publication: |
2008
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|---|---|
| Authors: | Lux, Thomas |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122x. - Vol. 26.2008, 2, p. 194-210
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