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Essays on economic sentiment dynamics and asymmetric multifractal models of financial volatility

Sushko, Stepan S. - 2021

Persistent link: https://www.econbiz.de/10012887751

Stochastic dividend discount model : covariance of random stock prices

Agosto, Arianna; Mainini, Alessandra; Moretto, Enrico - In: Journal of economics and finance 43 (2019) 3, pp. 552-568

Persistent link: https://www.econbiz.de/10012171498

Developing a regime-switching present value model : switching fundamentals and bubbles

Kim, Jan R.; Cho, Sung-jin - In: International economic journal 36 (2022) 4, pp. 477-490

Persistent link: https://www.econbiz.de/10013484818

The Markov switching multi-fractal model of asset returns : estimation and forecasting of dynamic volatitility with multinomial specifications

Lee, Hwa Taek - 2007

Persistent link: https://www.econbiz.de/10003767966

The Markov-switching multifractal model of asset returns : GMM estimation and linear forecasting of volatility

Lux, Thomas - In: Journal of business & economic statistics : JBES ; a … 26 (2008) 2, pp. 194-210

Persistent link: https://www.econbiz.de/10003675695

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

Lux, Thomas (contributor) - 2006

-switching multifractal model in Calvet and Fisher (2001) which allows for estimation of its parameters via maximum likelihood and Bayesian …

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

A Markov-switching multifractal approach to forecasting realized volatility

Lux, Thomas; Morales-Arias, Leonardo; Sattarhoff, Cristina - 2011

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...