The Markov-Switching Multifractal Model of Asset Returns
By Thomas Lux. 2008
176 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/29cd0acaf0e9244c50eaa6e2bced6af76f57ebef
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Fotios Petropoulos
- Konstantinos Nikolopoulos
- Rob J Hyndman
- Nikolaos Kourentzes
- Vassilios Assimakopoulos
- Evangelos Spiliotis
- Spyros Makridakis
- Christoph Bergmeir
In Finance
- Rangan Gupta
- David F. Hendry
- David E. Rapach
- Michael P. Clements
- A. Ajmi
- Adnen Ben Nasr
- Jennifer L. Castle
- Feng Li
Citations in the corpus
- Forecasting: theory and practice (2020, background): “ACC: Ant Colony Clustering ACD: Autoregressive Conditional Duration ADIDA: Aggregate–Disaggregate Intermittent Demand Approach ADL: Autoregressive Distributed Lag ADMM: Alternating Direction Method of Multipliers AI: Artificial Intelligence AIC: Akaike’s Information Criterion ANACONDA: Analysis of N”
- Modelling the volatility of the Dow Jones Islamic Market World Index using a fractionally integrated time-varying GARCH (FITVGARCH) model (2014, result): “…(Rapach and Zhou, 2013), an immediate extension of the current study would be to compare the forecasting ability of the FIGARCH and FITVGARCH, and possibly other set of standard models describing volatility of asset returns, as in Lux (2008), Lux and Morales-Arias (2010), and Lux et al. (2011).”