The Multi-Fractal Model of Asset Returns:Its Estimation via GMM and Its Use for Volatility Forecasting
| Year of publication: |
2003-08-01
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|---|---|
| Authors: | Lux, Thomas |
| Institutions: | Society for Computational Economics - SCE |
| Subject: | multi-fractality | financial volatility | forecasting |
| Series: | |
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| Type of publication: | Book / Working Paper |
| Notes: | The text is part of a series Computing in Economics and Finance 2002 Number 14 |
| Classification: | C20 - Econometric Methods: Single Equation Models. General ; G12 - Asset Pricing |
| Source: |
Persistent link: https://www.econbiz.de/10005706788