Skip to main content
Article thumbnail
Location of Repository

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

By Ruipeng Liu, T. Di Matteo and Thomas Lux

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 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

Topics: HG, QA
Publisher: Warwick Business School, Financial Econometrics Research Centre
Year: 2007
OAI identifier: oai:wrap.warwick.ac.uk:1731

Suggested articles

Citations

  1. (1999). 9Table 1 GMM estimates of MSM model for di erent values of k.
  2. (2001). An Introduction to High Frequency Finance Academic Press, doi

To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.