Similar Search Results

Predictability and herding of bourse volatility : an econophysics analogue

Ghosh, Bikramaditya; Krishna, Mysore Chidambareswaran; … - In: Investment management and financial innovations 15 (2018) 2, pp. 317-326

Persistent link: https://www.econbiz.de/10012055468

The effect of price volatility on judgmental forecasts : the correlated response model

Sobolev, Daphne - In: International journal of forecasting 33 (2017) 3, pp. 605-617

Persistent link: https://www.econbiz.de/10011746193

Überführung von quantitativem Research in implementierbare Handelsstrategien : Möglichkeiten und Grenzen der Automatisierung

Fabozzi, Frank J.; Focardi, Sergio; Ma, Christopher - 2006

Persistent link: https://www.econbiz.de/10003376827

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

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...