Browsing by Subject "Markov-switching multi-fractal (MSM)"

Browsing by Subject "Markov-switching multi-fractal (MSM)"

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  • High-frequency volatility forecasting of US housing markets 
    Segnon, Mawuli K.; Gupta, Rangan; Lesame, Keagile; Wohar, Mark E. (Springer, 2021-02)
    We propose a logistic smooth transition autoregressive fractionally integrated [STARFI (p, d)] process for modeling and forecasting US housing price volatility. We discuss the statistical properties of the model and ...