Showing 1 - 10 of 22,657
Persistent link: https://www.econbiz.de/10010221789
Persistent link: https://www.econbiz.de/10003751340
Persistent link: https://www.econbiz.de/10001605343
Persistent link: https://www.econbiz.de/10012033891
Persistent link: https://www.econbiz.de/10013262771
Persistent link: https://www.econbiz.de/10000863194
This paper introduces the Markov-Switching Multifractal Duration (MSMD) model by adapting the MSM stochastic volatility … model of Calvet and Fisher (2004) to the duration setting. Although the MSMD process is exponential ß-mixing as we show in … asymptotic normality for general MSMD specifications. We show that the Whittle estimation is a computationally simple and fast …
Persistent link: https://www.econbiz.de/10010499581
Persistent link: https://www.econbiz.de/10001513173
Persistent link: https://www.econbiz.de/10001500492
Persistent link: https://www.econbiz.de/10001452075