Markov switching multifractal

Known as: MSM 
In financial econometrics, the Markov-switching multifractal (MSM) is a model of asset returns that incorporates stochastic volatility components of… (More)
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Related topics

Related topics

4 relations
Brownian motionMarkov chainMultifractal systemTime series

Papers overview

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Review
2016
Review
2016
A user-centered model for designing consumer mobile health (mHealth) applications (apps)
BACKGROUND Mobile technologies are a useful platform for the delivery of health behavior interventions. Yet little work has been… (More)
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Review
2015
Review
2015
1 Between persistence and flexibility : The Yin and Yang of action control
Traditional approaches to action control assume the existence of a more or less unitary control system that struggles with, and… (More)
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Highly Cited
2014
Highly Cited
2014
Face recognition based on image sets
In this thesis, we study the problem of face recognition based on image sets. The main objective of our work is to develop set… (More)
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2013
2013
A Markov-Switching Multifractal Inter-Trade Duration Model , with Application to U . S .
We propose and illustrate a Markov-switching multifractal duration (MSMD) model for analysis of inter-trade durations in… (More)
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2013
2013
Markov-switching multifractal inter-trade duration model , with application to US equities
We propose and illustrate a Markov-switching multifractal duration (MSMD) model for analysis of inter-trade durations in… (More)
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Highly Cited
2008
Highly Cited
2008
Nanometre-scale germanium photodetector enhanced by a near-infrared dipole antenna
A critical challenge for the convergence of optics and electronics is that the micrometre scale of optics is significantly larger… (More)
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2007
2007
True and Apparent Scaling : The Proximity of the Markov-Switching Multifractal Model to Long-Range Dependence
In this paper, we consider daily financial data of a collection of different stock market indices, exchange rates, and interest… (More)
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2006
2006
The Markov-Switching Multifractal Model of Asset Returns : GMM Estimation and Linear Forecasting of Volatility April 5
Multifractal processes have recently been proposed as a new formalism for modelling the time series of returns in finance. The… (More)
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Highly Cited
2005
Highly Cited
2005
High-Intensity Terahertz Radiation from a Microstructured Large-Area Photoconductor
The development of new terahertz (THz) sources is of great importance for a large variety of scientific and technological… (More)
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Highly Cited
1998
Highly Cited
1998
Face Recognition Using Temporal Image Sequence
We present a face recognition method using image sequence. As input we utilize plural face images rather than a `single-shot', so… (More)
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