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~person:"Lux, Thomas"
~subject:"Time series analysis"
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Time series analysis
continuous-time models
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multifractal models
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regime switching
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Lux, Thomas
Chambers, Marcus J.
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Essays on economic sentiment dynamics and asymmetric multifractal models of financial volatility
Sushko, Stepan S.
-
2021
Persistent link: https://www.econbiz.de/10012940057
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2
Exact solutions for the transient densities of
continuous-time
Markov switching models : with an application to the poisson multifractal model
Lux, Thomas
-
2013
This paper shows how exact solutions for the transient density of a large class of
continuous-time
Markov switching …
Persistent link: https://www.econbiz.de/10010128826
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