* 1 Result enter search term Search Reset filter Suchfilter Content Type Publications (1) Publicationtype Working Paper (1) Units International Macroeconomics (1) Macroeconomic Policy under Market Imperfections (1) Experts Leonardo Morales-Arias (1) Thomas Lux (1) Date Last Month Last Year Select Period start date to end date Sort by Relevance Date Aktive Filter Tags: multifractality Remove all filters Working Paper Relative Forecasting Performance of Volatility Models: Monte Carlo Evidence 01.01.2010 A Monte Carlo (MC) experiment is conducted to study the forecasting performance of a variety of volatility models under alternative data generating processes (DGPs). The models included in the MC study are the (Fractionally Integrated) Generalized...
Working Paper Relative Forecasting Performance of Volatility Models: Monte Carlo Evidence 01.01.2010 A Monte Carlo (MC) experiment is conducted to study the forecasting performance of a variety of volatility models under alternative data generating processes (DGPs). The models included in the MC study are the (Fractionally Integrated) Generalized...