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Author:Idier, J.
Title:Long-term vs. short-term comovements in stock markets: the use of Markov-switching multifractal models
Journal:European Journal of Finance
2011 : JAN-FEB, VOL. 17: 1-2, P. 27-48
Index terms:stock markets
volatility
models
Freeterms:multifractal models
Markov switching
co-cycle lengths
comovements
Language:eng
Abstract:The author uses Markov switching multifractal models to derive new indicators by considering different horizons for dependency among four stock indices (NYSE FTSE DAX CAC) between 1996 and 2008. The detection of crises, extreme volatility comovements or the co-cycle lengths are derived.
SCIMA record nr: 272229
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