Listar Departament: Economia por autoría "6d7b2997-f85d-46c3-8cfe-91dd4ef646db"
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Non-homogeneous volatility correlations in the bivariate multifractal model
Liu, Ruipeng; Lux, Thomas Taylor & Francis (2015)In this paper, we consider an extension of the recently proposed bivariate Markov-switching multifractal model of Calvet, Fisher, and Thompson [2006. “Volatility Comovement: A Multifrequency Approach.” Journal of Econometrics ...