Multifractality and Long-Range Dependence of Asset Returns: The Scaling Behaviour of the Markov-Switching Multifractal Model with Lognormal Volatility Components
Year of publication: |
2008-06
|
---|---|
Authors: | Liu, Ruipeng ; Matteo, Tiziana Di ; Lux, Thomas |
Institutions: | Institut für Weltwirtschaft (IfW) |
Subject: | Markov-switching multifractal | scaling | return volatility |
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