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Non-stationary multifractality in stock returns

โœ Scribed by Morales, Raffaello; Di Matteo, T.; Aste, Tomaso


Book ID
121741572
Publisher
Elsevier Science
Year
2013
Tongue
English
Weight
811 KB
Volume
392
Category
Article
ISSN
0378-4371

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## Abstract Following recent nonโ€linear extensions of the presentโ€value model, this paper examines the outโ€ofโ€sample forecast performance of two parametric and two nonโ€parametric nonlinear models of stock returns. The parametric models include the standard regime switching and the Markov regime swi