True and apparent scaling: The proximity of the Markov-switching multifractal model to long-range dependence
Year of publication: |
2007
|
---|---|
Authors: | Liu, Ruipeng ; Di Matteo, T. ; Lux, Thomas |
Published in: |
Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 383.2007, 1, p. 35-42
|
Publisher: |
Elsevier |
Subject: | Scaling | Generalized Hurst exponent | Multifractal model | GMM estimation |
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