The Markov-switching multifractal model of asset returns : GMM estimation and linear forecasting of volatility

dc.creator	Lux, Thomas
dc.date	2008
dc.date.accessioned	2013-10-16T06:23:06Z
dc.date.available	2013-10-16T06:23:06Z
dc.date.issued	2013-10-16
dc.identifier	Journal of business & economic statistics 0735-0015 26 2008 2 194-210
dc.identifier	http://hdl.handle.net/10419/4258
dc.identifier	ppn:56151979X
dc.identifier.uri	http://koha.mediu.edu.my:8181/xmlui/handle/10419/4258
dc.language	eng
dc.rights	http://www.econstor.eu/dspace/Nutzungsbedingungen
dc.subject	ddc:330
dc.subject	Kapitalertrag
dc.subject	Börsenkurs
dc.subject	Volatilität
dc.subject	Prognoseverfahren
dc.subject	Physik
dc.subject	Markovscher Prozess
dc.subject	Nichtlineare dynamische Systeme
dc.subject	Zeitreihenanalyse
dc.subject	Momentenmethode
dc.subject	Theorie
dc.subject	Econophysics
dc.title	The Markov-switching multifractal model of asset returns : GMM estimation and linear forecasting of volatility
dc.type	doc-type:article

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