Chen, Wang; Wei, Yu; Lang, Qiaoqi; Lin, Yu; Liu, Maojuan - In: Physica A: Statistical Mechanics and its Applications 398 (2014) C, pp. 289-300
In this paper, we propose a new approach based on the multifractal volatility method (MFV) to study the contagion … follows: Firstly, we estimate volatility using the multifractal volatility method, and find out that the MFV method performs … best among other volatility models, such as GARCH-type and realized volatility models. Secondly, we analyze the tail …