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Thomas Lux and Christian-Albrechts-Universität zu Kiel. Institut für Volkswirtschaftslehre

The multi-fractal model of asset returns : its estimation via GMM and its use for volatility forecasting

Kiel: Univ., Dep. of Economics, 2003

Title	The multi-fractal model of asset returns : its estimation via GMM and its use for volatility forecasting / Christian-Albrechts-Universität Kiel, Department of Economics. By Thomas Lux
Involved	Thomas Lux (Mitwirkender) Christian-Albrechts-Universität zu Kiel. Institut für Volkswirtschaftslehre (Herausgebendes Organ)
Published	Kiel: Univ., Dep. of Economics 2003
Extent	Online-Ressource
Language	Englisch
Topic	Wirtschaft
Subject	Momentenproblem Kapitalertrag Börsenkurs Volatilität Prognoseverfahren Physik Stochastischer Prozess Exponential smoothing Zeitreihenanalyse Katastrophentheorie
Series	Economics working paper ; No. 2003,13
Persistent identifier	urn:nbn:de:101:1-200911022352 (URN)
Record ID	97067970X

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The multi-fractal model of asset returns : its estimation via GMM and its use for volatility forecasting