Add to ORKGIn 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.
In this paper, we use the generalized Hurst exponent approach to study the multi-scaling behavior of...
The scaling properties of the multifractional Brownian motion (mBm), a generally not multifractal pr...
We perform an extensive empirical analysis of scaling properties of equity returns, suggesting that ...
In this paper, we consider daily financial data of a collection of different stock market indices, e...
In this paper, we consider daily financial data of a collection of different stock market indices, e...
In this paper, we consider daily financial data of a collection of different stock market indices, e...
In this paper, we consider daily financial data from various sources (stock market indices, foreign ...
In this paper we consider daily financial data from various sources (stock market indices, foreign e...
In the recent years, a new wave of interest spurred the involvement of complexity in finance which m...
In this paper we consider daily financial data from various sources (stock market indices, foreign e...
In the recent years, a new wave of interest spurred the involvement of complexity in finance which m...
In this paper, we use the generalized Hurst exponent approach to study the multi-scaling behavior of...
We present a exactly soluble model for financial time series that mimics the long range volatility c...
This paper develops a class of models for the analysis of financial durations. We first establish a ...
We propose a multifractal model for short-term interest rates. The model is a version of the Markov-...
In this paper, we use the generalized Hurst exponent approach to study the multi-scaling behavior of...
The scaling properties of the multifractional Brownian motion (mBm), a generally not multifractal pr...
We perform an extensive empirical analysis of scaling properties of equity returns, suggesting that ...
In this paper, we consider daily financial data of a collection of different stock market indices, e...
In this paper, we consider daily financial data of a collection of different stock market indices, e...
In this paper, we consider daily financial data of a collection of different stock market indices, e...
In this paper, we consider daily financial data from various sources (stock market indices, foreign ...
In this paper we consider daily financial data from various sources (stock market indices, foreign e...
In the recent years, a new wave of interest spurred the involvement of complexity in finance which m...
In this paper we consider daily financial data from various sources (stock market indices, foreign e...
In the recent years, a new wave of interest spurred the involvement of complexity in finance which m...
In this paper, we use the generalized Hurst exponent approach to study the multi-scaling behavior of...
We present a exactly soluble model for financial time series that mimics the long range volatility c...
This paper develops a class of models for the analysis of financial durations. We first establish a ...
We propose a multifractal model for short-term interest rates. The model is a version of the Markov-...
In this paper, we use the generalized Hurst exponent approach to study the multi-scaling behavior of...
The scaling properties of the multifractional Brownian motion (mBm), a generally not multifractal pr...
We perform an extensive empirical analysis of scaling properties of equity returns, suggesting that ...