Listar Departament: Economia por fuente "Journal of Forecasting Volume 33, Issue 7, November 2014"
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Forecasting Daily variations of Stock Index Returns with a Multifractal Model of Realized Volatility
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 ...