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

Journal of Business and Economic Statistics

Volumn 26, Issue 2, 2008, Pages 194-210

  Lux, Thomas ^a  

^a UNIVERSITY OF KIEL   (Germany)

Author keywords

Generalized method of moments; Levinson Durbin algorithm; Long memory; Multiplicative volatility model

Indexed keywords

EID: 41649118014     PISSN: 07350015     EISSN: None     Source Type: Journal    
DOI: 10.1198/073500107000000403     Document Type: Article

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