Higher dimensional multifractal processes : a GMM approach

[1]  T. Lux,et al.  Flexible and Robust Modelling of Volatility Comovements: A Comparison of Two Multifractal Models , 2010 .

[2]  Ruipeng Liu,et al.  Multivariate multifractal models : estimation of parameters and applications to risk management , 2008 .

[3]  J. Idier.  Long-term vs. short-term comovements in stock markets: the use of Markov-switching multifractal models , 2008 .

[4]  Thomas Lux,et al.  The Markov-Switching Multifractal Model of Asset Returns , 2008 .

[5]  T. Kaizoji,et al.  Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching , 2007 .

[6]  T. Lux.  DETECTING MULTIFRACTAL PROPERTIES IN ASSET RETURNS: THE FAILURE OF THE "SCALING ESTIMATOR" , 2004 .

[7]  B. Mandelbrot.  Intermittent turbulence in self-similar cascades : divergence of high moments and dimension of the carrier , 2004 .

[8]  J. Richard,et al.  Univariate and Multivariate Stochastic Volatility Models: Estimation and Diagnostics , 2003 .

[9]  Yufeng Han,et al.  Asset Allocation with a High Dimensional Latent Factor Stochastic Volatility Model , 2005 .

[10]  Laszlo Matyas,et al.  Generalized method of moments estimation , 1999 .

[11]  Laurent E. Calvet,et al.  Forecasting Multifractal Volatility , 1999 .

[12]  R. GrahamJohn,et al.  Grading the Performance of Market-Timing Newsletters , 1997 .

[13]  F. Modigliani,et al.  Risk-Adjusted Performance , 1997 .

[14]  Ignacio N. Lobato,et al.  Real and Spurious Long-Memory Properties of Stock-Market Data , 1996 .

[15]  Bent E. Sørensen,et al.  GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study , 1996 .

[16]  Jan Beran,et al.  Statistics for long-memory processes , 1994 .

[17]  C. Granger,et al.  A long memory property of stock market returns and a new model , 1993 .

[18]  P. Brockwell,et al.  Time Series: Theory and Methods , 2013 .

[19]  T. Bollerslev,et al.  Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model , 1990 .

[20]  J. Geweke,et al.  THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS , 1983 .

[21]  L. Hansen.  Large Sample Properties of Generalized Method of Moments Estimators , 1982 .

[22]  C. Granger,et al.  AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING , 1980 .