Volatility comovement: a multifrequency approach
Year of publication: |
2006
|
---|---|
Authors: | Calvet, Laurent E. ; Fisher, Adlai ; Thompson, Samuel B. |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 131.2006, 1/2, p. 179-215
|
Subject: | bivariate Markov-Switching Multifractal | Volatilität | Volatility | Wechselkurs | Exchange rate | Dekompositionsverfahren | Decomposition method | Markov-Kette | Markov chain |
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