The Multi-Fractal Model of Asset Returns: Simple Moment and GMM Estimation
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- Laurent Calvet & Adlai Fisher, 2003.
"Regime-Switching and the Estimation of Multifractal Processes,"
NBER Working Papers
9839, National Bureau of Economic Research, Inc.
- Laurent Calvet & Adlai Fisher, 2003. "Regime-Switching and the Estimation of Multifractal Processes," Harvard Institute of Economic Research Working Papers 1999, Harvard - Institute of Economic Research.
More about this item
Keywordsmulti-fractality; long-range dependence; Hñlder spectrum;
- C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2001-05-02 (All new papers)
- NEP-ECM-2001-05-02 (Econometrics)
- NEP-FIN-2001-05-02 (Finance)
- NEP-FMK-2001-05-02 (Financial Markets)
- NEP-IFN-2001-05-02 (International Finance)
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