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An extreme value approach to estimating interest-rate volatility: pricing implications for interest-rate options

Bali, Turan G. - In: Management science : journal of the Institute for … 53 (2007) 2, pp. 323-339

Persistent link: https://www.econbiz.de/10003435740

Long memory in economics : with 50 tables

Teyssière, Gilles (contributor) - 2006

Persistent link: https://www.econbiz.de/10002123313

Konsum, Dividenden und Aktienmarkt : Eine Kointegrationsanalyse

Seiler, Yvonne - 2006

Persistent link: https://www.econbiz.de/10004882536

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

In this paper we consider daily financial data from various sources (stock market indices, foreign exchange rates and bonds) and analyze their multi-scaling properties by estimating the parameters of a Markov-switching multifractal model (MSM) with Lognormal volatility components. In order to...