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Predicting volatility using the Markov-switching multifract..:

Chuang, Wen-I ; Huang, Teng-Ching ; Lin, Bing-Huei
The North American Journal of Economics and Finance.  25 (2013)  - p. 168-187 , 2013
Link: https://doi.org/10.1016/j.najef.2012.06.007