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 … volatility models of asset returns. An intra-day data set for five major international stock market indices is used to evaluate …

by estimating the intermittency parameter and forecasting of volatility for a sample of financial data from stock and … foreign exchange markets. -- Random Lognormal cascades ; GMM estimation ; best linear forecasting ; volatility of financial …

allocation and risk management require estimates of the volatility of these factors. While realized volatility has become a … provide a statistical approach to estimate the volatility of these factors. The efficacy of this approach relative to the use … of models based on squared returns is demonstrated for forecasts of the market volatility and a portfolio allocation …

important mathematical factor anomalies: low volatility and momentum. By applying an explicit trend model, we show that both …. Furthermore, the model allows us to describe how low volatility uses implicitly asymmetric trend characteristics while momentum … exponent in itself allows for a momentum strategy, and it can also be utilized to significantly improve low volatility …

volume or volatility are associated with the strongest intraday time-series momentum dynamics. Based on this, we propose an …