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- Q6771331 subject Q7210515.
- Q6771331 subject Q7485053.
- Q6771331 subject Q8470823.
- Q6771331 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.".
- Q6771331 wikiPageExternalLink simuw.
- Q6771331 wikiPageWikiLink Q101740.
- Q6771331 wikiPageWikiLink Q1045555.
- Q6771331 wikiPageWikiLink Q160039.
- Q6771331 wikiPageWikiLink Q176645.
- Q6771331 wikiPageWikiLink Q178036.
- Q6771331 wikiPageWikiLink Q180752.
- Q6771331 wikiPageWikiLink Q200726.
- Q6771331 wikiPageWikiLink Q245930.
- Q6771331 wikiPageWikiLink Q2629238.
- Q6771331 wikiPageWikiLink Q5891314.
- Q6771331 wikiPageWikiLink Q596307.
- Q6771331 wikiPageWikiLink Q6132123.
- Q6771331 wikiPageWikiLink Q66295.
- Q6771331 wikiPageWikiLink Q7210515.
- Q6771331 wikiPageWikiLink Q7485053.
- Q6771331 wikiPageWikiLink Q756115.
- Q6771331 wikiPageWikiLink Q779824.
- Q6771331 wikiPageWikiLink Q8470823.
- Q6771331 wikiPageWikiLink Q963287.
- Q6771331 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.".
- Q6771331 label "Markov switching multifractal".