True and apparent scaling : the proximity of the Markov-switching multifractal model to long-range dependence

Liu, Ruipeng, Di Matteo, T. and Lux, Thomas 2007, True and apparent scaling : the proximity of the Markov-switching multifractal model to long-range dependence, Physica A, vol. 383, no. 1, pp. 35-42.

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Title True and apparent scaling : the proximity of the Markov-switching multifractal model to long-range dependence
Author(s) Liu, Ruipeng
Di Matteo, T.
Lux, Thomas
Journal name Physica A
Volume number 383
Issue number 1
Start page 35
End page 42
Publisher Elsevier B.V.
Place of publication Amsterdam, Netherlands
Publication date 2007-09
ISSN 0378-4371
1873-2119
Keyword(s) scaling
generalized Hurst exponent
multifractal model
GMM estimation
Summary 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 (MSM) model. In order to see how well the estimated model captures the temporal dependence of the data, we estimate and compare the scaling exponents H(q) (for q=1,2) for both empirical data and simulated data of the MSM model. In most cases the multifractal model appears to generate ‘apparent’ long memory in agreement with the empirical scaling laws.
Language eng
Field of Research 150399 Business and Management not elsewhere classified
Socio Economic Objective 970115 Expanding Knowledge in Commerce, Management, Tourism and Services
HERDC Research category C1.1 Refereed article in a scholarly journal
Copyright notice ©2007, Elsevier B.V.
Persistent URL http://hdl.handle.net/10536/DRO/DU:30020120

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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