foreign exchange markets. -- Random Lognormal cascades ; GMM estimation ; best linear forecasting ; volatility of financial … Generalized Method of Moments (GMM) estimation procedure to cope with the documented difficulties of previous methodologies. We … by estimating the intermittency parameter and forecasting of volatility for a sample of financial data from stock and …

volatility, but without the estimation problems associated with the latter, and being applicable in the multivariate setting for … model in several ways, it allows for all the primary stylized facts of financial asset returns, including volatility … EM-algorithm is developed for estimation. Each element of the vector return at time t is endowed with a common univariate …