MDSV-package: MDSV package

In Abdoulhaki/MDSV: Multifractal Discrete Stochastic Volatility

MDSV package

Description

The MDSV package implements the Multifractal Discrete Stochastic Volatility developed in Augustyniak, et al. (2021). This MDSV model is proposed as a generalization of other high dimensional hidden markov models such as, MSM of Calvet and Fisher (2004), CDRS of Fleming and Kirby (2013), DSARV of Cordis and Kirby (2014), FHMV of Augustyniak et al. (2019). To make the computations faster MDSV uses C++ through the Rcpp package (Eddelbuettel et al., 2011).

Author(s)

Maintainer: Kassimou Abdoul Haki Maoude [e-mail]

References

Calvet, L. E. and Fisher, A. J. (2004). How to forecast long-run volatility: Regime switching and the estimation of multifractal processes. Journal of Financial Econometrics, 2(1):49-83. https://doi.org/10.1093/jjfinec/nbh003

Eddelbuettel, D., Fran?ois, R., Allaire, J., Ushey, K., Kou, Q., Russel, N., ... & Bates, D., (2011). Rcpp: Seamless R and C++ integration. Journal of Statistical Software, 40(8), 1-18. https://www.jstatsoft.org/v40/i08/

Fleming, J., & Kirby, C. (2013). Component-driven regime-switching volatility. Journal of Financial Econometrics, 11(2), 263-301. https://doi.org/10.1093/jjfinec/nbs023

Cordis, A. S., & Kirby, C. (2014). Discrete stochastic autoregressive volatility. Journal of Banking & Finance, 43, 160-178. https://doi.org/10.1016/j.jbankfin.2014.03.020

Augustyniak, M., Bauwens, L., & Dufays, A. (2019). A new approach to volatility modeling: the factorial hidden Markov volatility model. Journal of Business & Economic Statistics, 37(4), 696-709. https://doi.org/10.1080/07350015.2017.1415910

Augustyniak, M., Dufays, A., & Maoude, K.H.A. (2021). Multifractal Discrete Stochastic Volatility.

See Also

For fitting MDSVfit, filtering MDSVfilter, bootstrap forecasting MDSVboot and rolling estimation and forecast MDSVroll.

Abdoulhaki/MDSV documentation built on July 6, 2024, 4:03 p.m.