The Markov-Switching Multifractal Model of Asset Returns:...

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

Thomas Lux
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Volume:
26
Journal:
Journal of Business & Economic Statistics
DOI:
10.2307/27638974
Date:
April, 2008
File:
PDF, 4.43 MB
2008
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