True and apparent scaling : the proximity of the Markov-switching multifractal model to long-range dependence
Data(s) |
01/09/2007
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Resumo |
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 (MSM) model. In order to see how well the estimated model captures 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 MSM model. In most cases the multifractal model appears to generate ‘apparent’ long memory in agreement with the empirical scaling laws.<br /> |
Identificador | |
Idioma(s) |
eng |
Publicador |
Elsevier B.V. |
Relação |
http://dro.deakin.edu.au/eserv/DU:30020120/ruipeng-trueandapparent-20007.pdf http://dx.doi.org/10.1016/j.physa.2007.04.085 |
Direitos |
2007, Elsevier B.V. |
Palavras-Chave | #scaling #generalized Hurst exponent #multifractal model #GMM estimation |
Tipo |
Journal Article |