True and Apparent Scaling: The Proximity of the Markov-Switching Multifractal Model to Long-Range Dependence

Details True and Apparent Scaling: The Proximity of the Markov-Switching Multifractal Model to Long-Range Dependence True and Apparent Scaling: The Proximity of the Markov-Switching Multifractal Model to Long-Range Dependence

2007-04-11

arxiv.org/abs/0704.1338v1

Economy

Quantitative Finance

Statistical Finance

13 pages, accepted for publication in Physica A

Scientific paper

10.1016/j.physa.2007.04.085

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.

Affiliated with

Also associated with

No associations

Rating

True and Apparent Scaling: The Proximity of the Markov-Switching Multifractal Model to Long-Range Dependence does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with True and Apparent Scaling: The Proximity of the Markov-Switching Multifractal Model to Long-Range Dependence, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and True and Apparent Scaling: The Proximity of the Markov-Switching Multifractal Model to Long-Range Dependence will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-672745