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

Date

Authors

Liu, Ruipeng

Di Matteo, Tiziana

Lux, Thomas

Publisher

Elsevier

Abstract

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

Keywords

Keywords: Computer simulation; Financial data processing; Marketing; Mathematical models; Parameter estimation; Switching theory; Generalized Hurst exponent; GMM estimation; Multifractal models; Stock markets; Markov processes Generalized Hurst exponent; GMM estimation; Multifractal model; Scaling

URI

http://hdl.handle.net/1885/27078

Collections

ANU Research Publications

Source

Physica A: Statistical mechanics and its applications

Type

Journal article

DOI

10.1016/j.physa.2007.04.085

Restricted until

2037-12-31

Downloads

File

Description

01_Liu_True_and_apparent_Scaling:_The_2007.pdf (161.54 KB)