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~person:"Lux, Thomas"
~source:"econstor"
~subject:"Volatilität"
~subject:"Zeitreihenanalyse"
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Volatilität
Zeitreihenanalyse
Kapitalertrag
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Markovscher Prozess
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Theorie
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Börsenkurs
2
Finanzmarkt
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Forecasting
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GMM estimation
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Markov-switching
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Markov-switching multifractal
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Physik
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FIGARCH
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Markov chain Monte Carlo
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carbon dioxide emission allowance prices
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estimation
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forecasting of volatility
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herding
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multifractal Processes
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nonlinear filtering
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partially observed Markov processes
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particle filter
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return volatility
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scaling
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Lux, Thomas
Liesenfeld, Roman
3
Chen, Xiaohong
2
Di Matteo, Tiziana
2
Hautsch, Nikolaus
2
Liu, Ruipeng
2
Pesaran, Mohammad Hashem
2
Pettenuzzo, Davide
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Timmermann, Allan
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Abberger, Klaus
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Allen, David E.
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Antonakakis, Nikolaos
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Bos, Charles S.
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Haas, Markus
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Halbheer, Daniel
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Heinen, Florian
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Hultblad, Brigitta
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Härdle, Wolfgang Karl
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Jung, Robert
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Kaufmann, Hendrik
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Knüppel, Malte
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Koenker, Roger
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Kohn, Robert
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Koopman, Siem Jan
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Krämer, Walter
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Kukuk, Martin
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Kunst, Robert M.
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EconStor
ECONIS (ZBW)
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Multifractality and long-range dependence of asset returns: The scaling behaviour of the
Markov
-switching multifractal model with lognormal volatility components
Liu, Ruipeng
;
Di Matteo, Tiziana
;
Lux, Thomas
-
2008
bonds) and analyze their multi-scaling properties by estimating the parameters of a
Markov
-switching multifractal model (MSM …
Persistent link: https://www.econbiz.de/10010273174
Saved in:
2
Multifractality and long-range dependence of asset returns: The scaling behaviour of the
Markov
-switching multifractal model with lognormal volatility components
Liu, Ruipeng
;
Di Matteo, Tiziana
;
Lux, Thomas
-
2008
bonds) and analyze their multi-scaling properties by estimating the parameters of a
Markov
-switching multifractal model (MSM …
Persistent link: https://www.econbiz.de/10010295131
Saved in:
3
The
Markov
-Switching Multifractal Model of asset returns: GMM estimation and linear forecasting of volatility
Lux, Thomas
-
2006
-stationarity and the combinatorial nature of the original model have been overcome by the introduction of an iterative
Markov
…
Persistent link: https://www.econbiz.de/10010295151
Saved in:
4
The
Markov
-switching multi-fractal model of asset returns: GMM estimation and linear forecasting of volatility
Lux, Thomas
-
2004
-stationarity and the combinatorial nature of the original model have been overcome by the introduction of an iterative
Markov
…
Persistent link: https://www.econbiz.de/10010295106
Saved in:
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