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The Markov-Switching Multifractal Model of asset returns : GMM estimation and linear forecasting of volatility

Lux, Thomas (contributor) - 2006

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...

Persistent link: https://www.econbiz.de/10003392192