The Multi-Fractal Model of Asset Returns:Its Estimation via GMM and Its Use for Volatility Forecasting

Thomas Lux

No 14, Computing in Economics and Finance 2003 from Society for Computational Economics

Keywords: multi-fractality; financial volatility; forecasting (search for similar items in EconPapers)
JEL-codes: C20 G12 (search for similar items in EconPapers)
Date: 2003-08-01
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Citations: View citations in EconPapers (17)

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