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True and apparent Scaling: The proximity of the Markov-switching multifractal model to long-rangedependence

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dc.contributor.authorLiu, Ruipeng
dc.contributor.authorDi Matteo, Tiziana
dc.contributor.authorLux, Thomas
dc.date.accessioned2015-12-07T22:50:34Z
dc.date.issued2007
dc.date.updated2015-12-07T12:18:58Z
dc.description.abstractIn 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
dc.identifier.issn0378-4371
dc.identifier.urihttp://hdl.handle.net/1885/27078
dc.publisherElsevier
dc.sourcePhysica A: Statistical mechanics and its applications
dc.subjectKeywords: Computer simulation; Financial data processing; Marketing; Mathematical models; Parameter estimation; Switching theory; Generalized Hurst exponent; GMM estimation; Multifractal models; Stock markets; Markov processes Generalized Hurst exponent; GMM estimation; Multifractal model; Scaling
dc.titleTrue and apparent Scaling: The proximity of the Markov-switching multifractal model to long-rangedependence
dc.typeJournal article
local.bibliographicCitation.lastpage42
local.bibliographicCitation.startpage35
local.contributor.affiliationLiu, Ruipeng, College of Physical and Mathematical Sciences, ANU
local.contributor.affiliationDi Matteo, Tiziana, College of Physical and Mathematical Sciences, ANU
local.contributor.affiliationLux, Thomas, University of Kiel
local.contributor.authoruidLiu, Ruipeng, u4382836
local.contributor.authoruidDi Matteo, Tiziana, u4044285
local.description.embargo2037-12-31
local.description.notesImported from ARIES
local.identifier.absfor010501 - Algebraic Structures in Mathematical Physics
local.identifier.ariespublicationu9210271xPUB48
local.identifier.citationvolume383
local.identifier.doi10.1016/j.physa.2007.04.085
local.identifier.scopusID2-s2.0-34347393131
local.type.statusPublished Version

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