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http://dspace.mediu.edu.my:8181/xmlui/handle/10419/3979| Title: | True and Apparent Scaling: The Proximity of the Markov- Switching Multifractal Model to Long-Range Dependence |
| Keywords: | ddc:330 Scaling Generalized Hurst exponent Multifractal model GMM estimation |
| Issue Date: | 16-Oct-2013 |
| Publisher: | Institut für Volkswirtschaftslehre, Kiel |
| Description: | In this paper, we consider daily financial data of a collection of different stock market indices, exchange rates, and interest rates, and we analyze their multi-scaling properties by estimating a simple specification of the Markov- switching multifractal model (MSM). In order to see how well the estimated models capture the temporal dependence of the data, we estimate and compare the scaling exponents H(q) (for q = 1; 2) for both empirical data and simulated data of the estimated MSM models. In most cases the multifractal model appears to generate `apparent' long memory in agreement with the empirical scaling laws. |
| URI: | http://koha.mediu.edu.my:8181/xmlui/handle/10419/3979 |
| Other Identifiers: | http://hdl.handle.net/10419/3979 ppn:52714956X RePEc:zbw:cauewp:5534 |
| Appears in Collections: | EconStor |
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