Archived publication
Archived publication
Markov-Switching Multifractal Models for Interest Rates
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