Archived publication

Archived publication

Markov-Switching Multifractal Models for Interest Rates

Neef, Linda Reiersølmoen

January 01, 2011

SAMBA

  • Areas: Finance, Insurance and Commodity Markets
  • Keywords: Markov-swithching multifractal model (MSM), GARCH model, autocorrelation function, interest rates, volatility prediction
  • Page(s): 37
  • Name and number of project: SIP-MASC Finans 220363
  • Title: Markov-Switching Multifractal Models for Interest Rates
  • Author(s): Neef, Linda Reiersølmoen
  • Report number: SAMBA/04/11
  • Published date: January 01, 2011