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Econophysics of wealth distribution : a comment

Anglin, Paul M. - In: Econophysics of wealth distributions : Econophys-Kolkata I, (pp. 229-238). 2005

Persistent link: https://www.econbiz.de/10003155355

Econophysics of wealth distributions : workshop summaries

Richmond, Peter; Mimkes, Jürgen; Gallegati, Mauro; … - In: Econophysics of wealth distributions : Econophys-Kolkata I, (pp. 239-245). 2005

Persistent link: https://www.econbiz.de/10003155371

The Markov-switching multifractal model of asset returns : GMM estimation and linear forecasting of volatility

Lux, Thomas - In: Journal of business & economic statistics : JBES ; a … 26 (2008) 2, pp. 194-210

Persistent link: https://www.econbiz.de/10003675695

Special issue: Applications of statistical physics in economics and finance

Farmer, J. Doyne (contributor); Lux, Thomas (contributor) - 2008

Persistent link: https://www.econbiz.de/10003622491

A Markov-switching multifractal approach to forecasting realized volatility

Lux, Thomas; Morales-Arias, Leonardo; Sattarhoff, Cristina - 2011

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 means of best linear forecasts derived via the...