Regime-Switching and the Estimation of Multifractal Processes
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https://www.nber.org/papers/w9839
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资源简介：
We propose a discrete-time stochastic volatility model in which regime switching serves three purposes. First, changes in regimes capture low frequency variations, which is their traditional role. Second, they specify intermediate frequency dynamics that are usually assigned to smooth autoregressive
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美国国家经济研究局创建时间：
2003-07-01
