Liu, Ruipeng; Matteo, Tiziana Di; Lux, Thomas - Institut für Weltwirtschaft (IfW) - 2008
bonds) and analyze their multi-scaling properties by estimating the parameters of a Markov-switching multifractal model (MSM … general, the Lognormal MSM models generate ‘apparent’ long memory in good agreement with empirical scaling provided one uses …
