Multifractality in the random parameter model for multivariate time series

Camilo Rodrigues Neto and André C.R. Martins

Physica A: Statistical Mechanics and its Applications, 2009, vol. 388, issue 11, 2198-2206

Abstract: The Random Parameter model was proposed to explain the structure of the covariance matrix in problems where most, but not all, of the eigenvalues of the covariance matrix can be explained by Random Matrix Theory. In this article, we explore the scaling properties of the model, as observed in the multifractal structure of the simulated time series. We use the Wavelet Transform Modulus Maxima technique to obtain the multifractal spectrum dependence with the parameters of the model. The model shows a scaling structure compatible with the stylized facts for a reasonable choice of the parameter values.

Keywords: Multifractal analysis; Wavelet transform; Stochastic processes (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:388:y:2009:i:11:p:2198-2206

DOI: 10.1016/j.physa.2009.02.005

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