Predicting volatility using the Markov-switching multifractal model: Evidence from S&P 100 index and equity options

✍ Scribed by Chuang, Wen-I; Huang, Teng-Ching; Lin, Bing-Huei

• Book ID: 120823781
• Publisher: Elsevier Science
• Year: 2013
• Tongue: English
• Weight: 517 KB
• Volume: 25
• Category: Article
• ISSN: 1062-9408
• DOI: 10.1016/j.najef.2012.06.007