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Markov-Switching Multifractal Model of Asset Returns: GMM Estimation and Linear Forecasting of Volatility

Lux, Thomas

Markov-Switching Multifractal Model of Asset Returns: GMM Estimation and Linear Forecasting of Volatility 2008 - 2008 - 194-210 V. 26 Issue. 2

Subjects--Topical Terms:
Economic Statistics

Subjects--Index Terms: Generalized method moments;Levinson durbin algorithm;Long memory;Multiplicative volatility model;

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