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Persistent link: https://www.econbiz.de/10011326305

Volatility modeling with leverage effect under laplace errors

Jiang, Zhengjun; Xia, Weixuan - In: Journal of time series econometrics 10 (2018) 1, pp. 1-28

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Prediction of α‐stable GARCH and ARMA‐GARCH‐M models

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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 (contributor); Di Matteo, Tiziana (contributor) - 2008

) with Lognormal volatility components. In order to see how well estimated models capture the temporal dependency of the … sufficiently many volatility components. In comparison with a Binomial MSM specification [7], results are almost identical. This … distribution is very limited. -- Markov-switching multifractal ; scaling ; return volatility …