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http://dspace.mediu.edu.my:8181/xmlui/handle/10419/3979Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.creator | Liu, Ruipeng | - |
| dc.creator | Di Matteo, Tiziana | - |
| dc.creator | Lux, Thomas | - |
| dc.date | 2007 | - |
| dc.date.accessioned | 2013-10-16T06:21:30Z | - |
| dc.date.available | 2013-10-16T06:21:30Z | - |
| dc.date.issued | 2013-10-16 | - |
| dc.identifier | http://hdl.handle.net/10419/3979 | - |
| dc.identifier | ppn:52714956X | - |
| dc.identifier | RePEc:zbw:cauewp:5534 | - |
| dc.identifier.uri | http://koha.mediu.edu.my:8181/xmlui/handle/10419/3979 | - |
| dc.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. | - |
| dc.language | eng | - |
| dc.publisher | Institut für Volkswirtschaftslehre, Kiel | - |
| dc.relation | Economics working paper / Christian-Albrechts-Universität Kiel, Department of Economics 2007,06 | - |
| dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | - |
| dc.subject | ddc:330 | - |
| dc.subject | Scaling | - |
| dc.subject | Generalized Hurst exponent | - |
| dc.subject | Multifractal model | - |
| dc.subject | GMM estimation | - |
| dc.title | True and Apparent Scaling: The Proximity of the Markov- Switching Multifractal Model to Long-Range Dependence | - |
| dc.type | doc-type:workingPaper | - |
| Appears in Collections: | EconStor | |
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