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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 wikiPageLength "12797".
- Markov_switching_multifractal wikiPageOutDegree "25".
- Markov_switching_multifractal wikiPageRevisionID "679427842".
- Markov_switching_multifractal wikiPageWikiLink Autoregressive_conditional_heteroskedasticity.
- Markov_switching_multifractal wikiPageWikiLink Benoit_Mandelbrot.
- Markov_switching_multifractal wikiPageWikiLink Brownian_motion.
- Markov_switching_multifractal wikiPageWikiLink Category:Fractals.
- Markov_switching_multifractal wikiPageWikiLink Category:Markov_models.
- Markov_switching_multifractal wikiPageWikiLink Category:Mathematical_finance.
- Markov_switching_multifractal wikiPageWikiLink Derivative_(finance).
- Markov_switching_multifractal wikiPageWikiLink Econometrics.
- Markov_switching_multifractal wikiPageWikiLink Homogeneity_(statistics).
- Markov_switching_multifractal wikiPageWikiLink James_D._Hamilton.
- Markov_switching_multifractal wikiPageWikiLink Markov_chain.
- Markov_switching_multifractal wikiPageWikiLink Maximum_likelihood.
- Markov_switching_multifractal wikiPageWikiLink Multifractal_Model_of_Asset_Returns.
- Markov_switching_multifractal wikiPageWikiLink Multifractal_model_of_asset_returns.
- Markov_switching_multifractal wikiPageWikiLink Multifractal_system.
- Markov_switching_multifractal wikiPageWikiLink Outlier.
- Markov_switching_multifractal wikiPageWikiLink Probability_distribution.
- Markov_switching_multifractal wikiPageWikiLink Return_on_capital.
- Markov_switching_multifractal wikiPageWikiLink Stochastic_volatility.
- Markov_switching_multifractal wikiPageWikiLink Value_at_risk.
- Markov_switching_multifractal wikiPageWikiLink Volatility_(finance).
- Markov_switching_multifractal wikiPageWikiLinkText "Markov switching multifractal".
- Markov_switching_multifractal wikiPageWikiLinkText "regime-switching".
- Markov_switching_multifractal wikiPageUsesTemplate Template:Context.
- Markov_switching_multifractal wikiPageUsesTemplate Template:Reflist.
- Markov_switching_multifractal subject Category:Fractals.
- Markov_switching_multifractal subject Category:Markov_models.
- Markov_switching_multifractal subject Category:Mathematical_finance.
- Markov_switching_multifractal hypernym Model.
- Markov_switching_multifractal type Model.
- Markov_switching_multifractal type Person.
- Markov_switching_multifractal type Field.
- Markov_switching_multifractal type Function.
- Markov_switching_multifractal type Model.
- Markov_switching_multifractal type Occupation.
- Markov_switching_multifractal type Page.
- Markov_switching_multifractal type Redirect.
- 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 Q6771331.
- Markov_switching_multifractal sameAs m.064lktf.
- Markov_switching_multifractal sameAs Q6771331.
- Markov_switching_multifractal wasDerivedFrom Markov_switching_multifractal?oldid=679427842.
- Markov_switching_multifractal isPrimaryTopicOf Markov_switching_multifractal.