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

journal contribution
posted on 01.09.2007, 00:00 authored by Ruipeng LiuRuipeng Liu, T Di Matteo, T Lux
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.

History

Journal

Physica A

Volume

383

Issue

1

Pagination

35 - 42

Publisher

Elsevier B.V.

Location

Amsterdam, Netherlands

ISSN

0378-4371

eISSN

1873-2119

Language

eng

Publication classification

C1.1 Refereed article in a scholarly journal

Copyright notice

2007, Elsevier B.V.