Forecasting Volatility of Commodity, Currency, and Stock Markets: Evidence from Markov Switching Multifractal Models
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More about this item
Keywords
Multifractal processes; Volatility co-movement; Commodity returns; Foreign exchange returns; Stock returns;All these keywords.
JEL classification:
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-EUR-2024-01-15 (Microeconomic European Issues)
- NEP-IFN-2024-01-15 (International Finance)
- NEP-RMG-2024-01-15 (Risk Management)
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