| 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 |
|