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DOI: 10.1016/j.econmod.2016.11.010
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Citations
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Cited by:
- Lux, Thomas, 2022. "Inference for Nonlinear State Space Models: A Comparison of Different Methods applied to Markov-Switching Multifractal Models," Econometrics and Statistics, Elsevier, vol. 21(C), pages 69-95.
- Sikora, Grzegorz & Michalak, Anna & Bielak, Łukasz & Miśta, Paweł & Wyłomańska, Agnieszka, 2019. "Stochastic modeling of currency exchange rates with novel validation techniques," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 1202-1215.
- Lux, Thomas, 2018. "Inference for nonlinear state space models: A comparison of different methods applied to Markov-switching multifractal models," Economics Working Papers 2018-07, Christian-Albrechts-University of Kiel, Department of Economics.
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More about this item
Keywords
Multivariate; Multifractal; Long memory; GMM estimation;All these keywords.
JEL classification:
- C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
Statistics
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