TY - JOUR
T1 - True and apparent scaling
T2 - The proximity of the Markov-switching multifractal model to long-range dependence
AU - Liu, Ruipeng
AU - Di Matteo, T.
AU - Lux, Thomas
PY - 2007/9/1
Y1 - 2007/9/1
N2 - 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.
AB - 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.
KW - GMM estimation
KW - Generalized Hurst exponent
KW - Multifractal model
KW - Scaling
UR - http://www.scopus.com/inward/record.url?scp=34347393131&partnerID=8YFLogxK
U2 - 10.1016/j.physa.2007.04.085
DO - 10.1016/j.physa.2007.04.085
M3 - Article
SN - 0378-4371
VL - 383
SP - 35
EP - 42
JO - Physica A: Statistical Mechanics and its Applications
JF - Physica A: Statistical Mechanics and its Applications
IS - 1 SPEC. ISS.
ER -