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

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

Description

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
URI: http://hdl.handle.net/1885/27078
Source: Physica A: Statistical mechanics and its applications
DOI: 10.1016/j.physa.2007.04.085

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