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The Multi-Fractal Model of Asset Returns:Its Estimation via GMM and Its Use for Volatility Forecasting
16 references·1 citing·44 second hop
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References

  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 1996Statistics for Long-Memory Processes.2,686 cited
  • 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,290 cited
  • 1989Long-term Memory in Stock Market Prices1,433 cited
  • 2003Forecasting Volatility in Financial Markets: A Review1,373 cited
  • 1996Finite-Sample Properties of Some Alternative GMM Estimators1,277 cited
  • 1990Pricing foreign currency options with stochastic volatility749 cited
  • 1997Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns649 cited
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  • 1998Real and Spurious Long-Memory Properties of Stock-Market Data332 cited
  • 2001Forecasting multifractal volatility284 cited
  • 1999Multifractal analysis of foreign exchange data190 cited
  • 1998

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Multi-affine analysis of typical currency exchange rates
137 cited

Cited by

  • 2011A copula–multifractal volatility hedging model for CSI 300 index futures30 cited