multifractal-package: The multifractal package
In ahoundetoungan/multifractal: Multifractal volatility models
Description
Author(s)
References
See Also
Description
The multifractal package simulates, fits, and forecasts with multifractal model.
Unlike the MSM package, multifractal allows leverage in the model.
Author(s)
Maintainer: Elysee Aristide Houndetoungan ariel92and@gmail.com
Authors:
David Ardia david.ardia.ch@gmail.com (ORCID)
Arnaud Dufays arnaud.dufays@unamur.be
References
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, 696-709.
https://doi.org/10.1080/07350015.2017.1415910.
Calvet, L. E., & Fisher, A. J. (2004).
How to forecast long-run volatility: Regime switching and the estimation of multifractal processes.
Journal of Financial Econometrics, 2, 49-83.
https://doi.org/10.1093/jjfinec/nbh003.
See Also
simMSM, fitMSM, predict.fitMSM.
ahoundetoungan/multifractal documentation built on Dec. 27, 2019, 2:17 a.m.
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Description Author(s) References See Also
Description
The multifractal package simulates, fits, and forecasts with multifractal model. Unlike the MSM package, multifractal allows leverage in the model.
Author(s)
Maintainer: Elysee Aristide Houndetoungan ariel92and@gmail.com
Authors:
David Ardia david.ardia.ch@gmail.com (ORCID)
Arnaud Dufays arnaud.dufays@unamur.be
References
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, 696-709. https://doi.org/10.1080/07350015.2017.1415910.
Calvet, L. E., & Fisher, A. J. (2004). How to forecast long-run volatility: Regime switching and the estimation of multifractal processes. Journal of Financial Econometrics, 2, 49-83. https://doi.org/10.1093/jjfinec/nbh003.
See Also
simMSM, fitMSM, predict.fitMSM.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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