Listar Departament: Economia por autoría "2b320413-4ac8-414c-99de-b2fb28e8a3c0"
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Forecasting Daily variations of Stock Index Returns with a Multifractal Model of Realized Volatility
Lux, Thomas; Morales Arias, Leonardo; Sattarhoff, Cristina John Wiley & Sons (2014-09)Multifractal models have recently been introduced as a new type of data-generating process for asset returns and other financial data. Here we propose an adaptation of this model for realized volatility. We estimate this ...