The volatility specification of the Markov-switching Multifractal (MSM) model is proposed as an alternative mechanism … for realized volatility (RV). We estimate the RV-MSM model via Generalized Method of Moments and perform forecasting by … volatility models of asset returns. An intra-day data set for five major international stock market indices is used to evaluate …

Econophysics has already made a number of important empirical contributions to our understanding of the social and …

economics and finance. The bulk of what has recently become known as 'econophysics' in broader circles draws its motivation from … the recent inception of new strands of research on this topic, both within econophysics and the neoclassical economics …

economics and nance. The bulk of what has recently become known as 'econophysics' in broader circles draws its motivation from … the recent inception of new strands of research on this topic both within econophysics and the neoclassical economics …

Econophysics has already made a number of important empirical contributions to our understanding of the social and … amount of reasonably well-defined data. More recently, Econophysics has also begun to tackle other areas of economics where …

economics and finance. The bulk of what has recently become known as 'econophysics' in broader circles draws its motivation from … the recent inception of new strands of research on this topic, both within econophysics and the neoclassical economics …