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True and Apparent Scaling: The Proximity of the Markov-Switching Multifractal Model to Long-Range Dependence

Ruipeng Liu, T. Di Matteo and Thomas Lux

Papers from arXiv.org

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.

Date: 2007-04
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http://arxiv.org/pdf/0704.1338 Latest version (application/pdf)

Related works:
Journal Article: True and apparent scaling: The proximity of the Markov-switching multifractal model to long-range dependence (2007) Downloads
Working Paper: True and Apparent Scaling: The Proximity of the Markov- Switching Multifractal Model to Long-Range Dependence (2007) Downloads
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