True and apparent scaling: The proximity of the Markov-switching multifractal model to long-range dependence
T. Di Matteo and
Physica A: Statistical Mechanics and its Applications, 2007, vol. 383, issue 1, 35-42
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.
Keywords: Scaling; Generalized Hurst exponent; Multifractal model; GMM estimation (search for similar items in EconPapers)
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Working Paper: True and Apparent Scaling: The Proximity of the Markov-Switching Multifractal Model to Long-Range Dependence (2007)
Working Paper: True and Apparent Scaling: The Proximity of the Markov- Switching Multifractal Model to Long-Range Dependence (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:383:y:2007:i:1:p:35-42
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