The size premium, defined as the outperformance of equities of small and medium-sized companies compared with the shares of large companies, is subject to strong cyclical fluctuations over time. This study examines the predictability of this premium for the Swiss stock market. The forecasts used...

We examine the performance of volatility models that incorporate features such as long (short) memory, regime-switching and multifractality along with two competing distributional assumptions of the error component, i.e. Normal vs Student-t. Our precise contribution is twofold. First, we...

Multifractal processes have recently been proposed as a new formalism for modelling the time series of returns in finance. The major attraction of these processes is their ability to generate various degrees of long memory in different powers of returns - a feature that has been found in...

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...