Forecasting multifractal volatility

Journal of Econometrics

Volumn 105, Issue 1, 2001, Pages 27-58

  Calvet, Laurent ^a   Fisher, Adlai ^b  

^a HARVARD UNIVERSITY   (United States)

^b UNIVERSITY OF BRITISH COLUMBIA   (Canada)

Author keywords

Forecasting; Long memory; Multiple frequencies; Stochastic volatility; Weak convergence

Indexed keywords

EID: 0011831909     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(01)00069-0     Document Type: Article

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