Volatility Comovement: A Multifrequency Approach
收藏NBER2004-08-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/t0300
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资源简介：
We implement a multifrequency volatility decomposition of three exchange rates and show that components with similar durations are strongly correlated across series. This motivates a bivariate extension of the Markov-Switching Multifractal (MSM) introduced in Calvet and Fisher (2001, 2004).
提供机构：
美国国家经济研究局
创建时间：
2004-08-01
