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| Tekijä: | Idier, J. |
| Otsikko: | Long-term vs. short-term comovements in stock markets: the use of Markov-switching multifractal models |
| Lehti: | European Journal of Finance
2011 : JAN-FEB, VOL. 17: 1-2, P. 27-48 |
| Asiasana: | stock markets volatility models |
| Vapaa asiasana: | multifractal models Markov switching co-cycle lengths comovements |
| Kieli: | eng |
| Tiivistelmä: | 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. |
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