Markov-Switching Multifractal Models within GAMLSS
A Djennad, R Rigby, D Stasinopoulos… - 26th International …, 2011 - papers.ssrn.com
This paper reports on concepts and methods to incorporate the Markov-Switching
Multifractal model for stochastic volatility introduced by Calvet and Fisher (2004) within the …
Multifractal model for stochastic volatility introduced by Calvet and Fisher (2004) within the …