True and apparent Scaling: The proximity of the Markov-switching multifractal model to long-rangedependence
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Liu, Ruipeng
Di Matteo, Tiziana
Lux, Thomas
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Elsevier
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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
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Physica A: Statistical mechanics and its applications
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2037-12-31
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