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The Markov-switching multi-fractal model of asset returns : GMM estimation and linear forecasting of volatility Author info | Abstract | Publisher info | Download info | Related research | Statistics Lux, Thomas
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Paper provided by Christian-Albrechts-University of Kiel, Department of Economics in its series Economics Working Papers with number
2004,11.
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Date of creation: 2004Date of revision:
Handle: RePEc:zbw:cauewp:2442Contact details of provider: Web page: http://www.wiso.uni-kiel.de/econ/
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Keywords: Markov-switching ; multifractal ; forecasting ; volatility ; GMM estimation ; Other versions of this item:
Find related papers by JEL classification: C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.:
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Ding, Zhuanxin & Granger, Clive W. J. & Engle, Robert F., 1993.
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Journal of Empirical Finance ,
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Other versions: Laurent Calvet & Adlai Fisher, 2002.
"Multifractality In Asset Returns: Theory And Evidence ,"
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Diebold, Francis X & Mariano, Roberto S, 1995.
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Francis X. Diebold & Robert S. Mariano, 1994.
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Torben G. Andersen & Tim Bollerslev, 1996.
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Other versions: Brockwell, P. J. & Dahlhaus, R., 2004.
"Generalized Levinson-Durbin and Burg algorithms ,"
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Andersen, Torben G & Sorensen, Bent E, 1996.
"GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 14(3), pages 328-52, July.
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Laurent E. Calvet & Adlai J. Fisher, 2006.
"Multifrequency Jump-Diffusions: An Equilibrium Approach ,"
NBER Working Papers
12797, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
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