Arbeitspapier
True and Apparent Scaling: The Proximity of the Markov- Switching Multifractal Model to Long-Range Dependence
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 model (MSM). In order to see how well the estimated models capture 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 estimated MSM models. In most cases the multifractal model appears to generate `apparent' long memory in agreement with the empirical scaling laws.
- Sprache
-
Englisch
- Erschienen in
-
Series: Economics Working Paper ; No. 2007-06
- Klassifikation
-
Wirtschaft
- Thema
-
Generalized Hurst exponent
Multifractal model
GMM estimation
Scaling
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Liu, Ruipeng
Di Matteo, Tiziana
Lux, Thomas
- Ereignis
-
Veröffentlichung
- (wer)
-
Kiel University, Department of Economics
- (wo)
-
Kiel
- (wann)
-
2007
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Liu, Ruipeng
- Di Matteo, Tiziana
- Lux, Thomas
- Kiel University, Department of Economics
Entstanden
- 2007
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