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True and apparent scaling: The proximity of the Markov-switching multifractal model to long-range dependence
Liu, Ruipeng; Di Matteo, T.; Lux, Thomas - In: Physica A: Statistical Mechanics and its Applications 383 (2007) 1, pp. 35-42
interest rates, and we analyze their multi-scaling properties by estimating a simple specification of the Markov … and compare the scaling exponents H(q) (for q=1,2) for both empirical data and simulated data of the MSM model. In most … cases the multifractal model appears to generate ‘apparent’ long memory in agreement with the empirical scaling laws. …
Persistent link: https://www.econbiz.de/10010591500
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Multifractality and long-range dependence of asset returns: The scaling behaviour of the Markov-switching multifractal model with lognormal volatility components
Liu, Ruipeng; Di Matteo, Tiziana; Lux, Thomas - 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 …
Persistent link: https://www.econbiz.de/10010273174
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Multifractality and long-range dependence of asset returns: The scaling behaviour of the Markov-switching multifractal model with lognormal volatility components
Liu, Ruipeng; Di Matteo, Tiziana; Lux, Thomas - 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 …
Persistent link: https://www.econbiz.de/10010295131
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True and Apparent Scaling: The Proximity of the Markov- Switching Multifractal Model to Long-Range Dependence
Liu, Ruipeng; Di Matteo, Tiziana; Lux, Thomas - 2007
interest rates, and we analyze their multi-scaling properties by estimating a simple specification of the Markov- switching … and compare the scaling exponents H(q) (for q = 1; 2) for both empirical data and simulated data of the estimated MSM … scaling laws. …
Persistent link: https://www.econbiz.de/10010295148
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Multifractality and Long-Range Dependence of Asset Returns: The Scaling Behaviour of the Markov-Switching Multifractal Model with Lognormal Volatility Components
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 …
Persistent link: https://www.econbiz.de/10005076121
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Multifractality and long-range dependence of asset returns: The scaling behaviour of the Markov-switching multifractal model with lognormal volatility components
Liu, Ruipeng; Di Matteo, Tiziana; Lux, Thomas - Institut für Volkswirtschaftslehre, … - 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 …
Persistent link: https://www.econbiz.de/10005082829
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True and Apparent Scaling: The Proximity of the Markov- Switching Multifractal Model to Long-Range Dependence
Liu, Ruipeng; Di Matteo, Tiziana; Lux, Thomas - Institut für Volkswirtschaftslehre, … - 2007
interest rates, and we analyze their multi-scaling properties by estimating a simple specification of the Markov- switching … and compare the scaling exponents H(q) (for q = 1; 2) for both empirical data and simulated data of the estimated MSM … scaling laws. …
Persistent link: https://www.econbiz.de/10005082842