Volatility forecasting with bivariate multifractal models

Liu, Ruipeng, Demirer, Riza, Gupta, Rangan and Wohar, Mark 2020, Volatility forecasting with bivariate multifractal models, Journal of forecasting, vol. 39, no. 2, pp. 155-167, doi: 10.1002/for.2619.

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Title Volatility forecasting with bivariate multifractal models
Author(s) Liu, RuipengORCID iD for Liu, Ruipeng orcid.org/0000-0003-4174-6135
Demirer, Riza
Gupta, Rangan
Wohar, Mark
Journal name Journal of forecasting
Volume number 39
Issue number 2
Start page 155
End page 167
Total pages 13
Publisher Wiley
Place of publication Chichester, Eng.
Publication date 2020-03
ISSN 0277-6693
1099-131X
Keyword(s) BRICS
long memory
multifractal models
simulation-based inference
volatility forecasting
Social Sciences
Economics
Management
Business & Economics
OIL PRICE VOLATILITY
EXCHANGE-RATES
ASSET RETURNS
STOCK-MARKET
PERSISTENCE
VARIABLES
BREAKS
US
Language eng
DOI 10.1002/for.2619
Indigenous content off
Field of Research 150202 Financial Econometrics
150205 Investment and Risk Management
1403 Econometrics
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Persistent URL http://hdl.handle.net/10536/DRO/DU:30129575

Document type: Journal Article
Collections: Faculty of Business and Law
Department of Finance
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