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

Ruipeng Liu, Tiziana Di Matteo and Thomas Lux

No 2007-06, Economics Working Papers from Christian-Albrechts-University of Kiel, Department of Economics

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.

Keywords: Generalized Hurst exponent; Multifractal model; GMM estimation; Scaling (search for similar items in EconPapers)
Date: 2007
New Economics Papers: this item is included in nep-ecm and nep-ets
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https://www.econstor.eu/bitstream/10419/3979/1/EWP-2007-06.pdf (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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