True and apparent Scaling: The proximity of the Markov-switching multifractal model to long-rangedependence
In this paper, we consider daily financial data of a collection of different stock market indices, exchange rates, and interest rates, and we analyze their multi-scaling properties by estimating a simple specification of the Markov-switching multifractal
|Collections||ANU Research Publications|
|Source:||Physica A: Statistical mechanics and its applications|
|01_Liu_True_and_apparent_Scaling:_The_2007.pdf||161.54 kB||Adobe PDF||Request a copy|
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