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- 1ARX-MSM
- 1Autoregressive Markov Switching Multifractal
- 1Commodity Comovement
- 1Electricity Price Forecasting
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- 1MSM
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Fall 2014
The overall purpose of this thesis is to extend and apply the Markov Switching Multifractal (MSM) model to various economic problems. To this extent, Chapter 1 lays the ground work for the next chapters by reviewing the MSM model, discussing its properties and outlining its estimation procedures....
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