In this paper, we consider daily financial data from various sources (stock market indices, foreign exchange rates and bonds) and analyze their multiscaling properties by estimating the parameters of a Markov-switching multifractal (MSM) model with Lognormal volatility components. In order to...

Minimum spanning trees and planar maximally filtered graphs are generated from correlations between the 300 most-capitalized NYSE stocks' daily returns, computed dynamically over moving windows of sizes between 1 and 12 months, in the period from 2001 to 2003. We study how different economic...