Forecasting daily return densities from intraday data: a multifractal approach
This paper proposes a new approach for estimating and forecasting the moments and probability density function of daily financial returns from intraday data. This is achieved through a new application of the distributional scaling laws for the class of multifractal processes. Density forecasts from...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
2014-10.
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| Subjects: | |
| Online Access: | Get fulltext |