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- Markov_switching_multifractal abstract "In financial econometrics, the Markov-switching multifractal (MSM) is a model of asset returns that incorporates stochastic volatility components of heterogeneous durations. MSM captures the outliers, log-memory-like volatility persistence and power variation of financial returns. In currency and equity series, MSM compares favorably with standard volatility models such as GARCH(1,1) and FIGARCH both in- and out-of-sample. MSM is used by practitioners in the financial industry to forecast volatility, compute value-at-risk, and price derivatives.".
- Markov_switching_multifractal wikiPageExternalLink simuw.
- Markov_switching_multifractal wikiPageID "22999330".
- Markov_switching_multifractal wikiPageRevisionID "592446344".
- Markov_switching_multifractal hasPhotoCollection Markov_switching_multifractal.
- Markov_switching_multifractal subject Category:Fractals.
- Markov_switching_multifractal subject Category:Markov_models.
- Markov_switching_multifractal subject Category:Mathematical_finance.
- Markov_switching_multifractal type Assistant109815790.
- Markov_switching_multifractal type CausalAgent100007347.
- Markov_switching_multifractal type LivingThing100004258.
- Markov_switching_multifractal type MarkovModels.
- Markov_switching_multifractal type Model110324560.
- Markov_switching_multifractal type Object100002684.
- Markov_switching_multifractal type Organism100004475.
- Markov_switching_multifractal type Person100007846.
- Markov_switching_multifractal type PhysicalEntity100001930.
- Markov_switching_multifractal type Whole100003553.
- Markov_switching_multifractal type Worker109632518.
- Markov_switching_multifractal type YagoLegalActor.
- Markov_switching_multifractal type YagoLegalActorGeo.
- Markov_switching_multifractal comment "In financial econometrics, the Markov-switching multifractal (MSM) is a model of asset returns that incorporates stochastic volatility components of heterogeneous durations. MSM captures the outliers, log-memory-like volatility persistence and power variation of financial returns. In currency and equity series, MSM compares favorably with standard volatility models such as GARCH(1,1) and FIGARCH both in- and out-of-sample.".
- Markov_switching_multifractal label "Markov switching multifractal".
- Markov_switching_multifractal sameAs m.064lktf.
- Markov_switching_multifractal sameAs Q6771331.
- Markov_switching_multifractal sameAs Q6771331.
- Markov_switching_multifractal sameAs Markov_switching_multifractal.
- Markov_switching_multifractal wasDerivedFrom Markov_switching_multifractal?oldid=592446344.
- Markov_switching_multifractal isPrimaryTopicOf Markov_switching_multifractal.