Skip navigation
Skip navigation

True and apparent Scaling: The proximity of the Markov-switching multifractal model to long-rangedependence

Liu, Ruipeng; Di Matteo, Tiziana; Lux, Thomas


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

CollectionsANU Research Publications
Date published: 2007
Type: Journal article
Source: Physica A: Statistical mechanics and its applications
DOI: 10.1016/j.physa.2007.04.085


File Description SizeFormat Image
01_Liu_True_and_apparent_Scaling:_The_2007.pdf161.54 kBAdobe PDF    Request a copy

Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.

Updated:  20 July 2017/ Responsible Officer:  University Librarian/ Page Contact:  Library Systems & Web Coordinator