Additional information is available for the following registered author(s):

• Ruipeng Liu
• Thomas Lux

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Paper provided by Christian-Albrechts-University of Kiel, Department of Economics in its series Economics Working Papers with number 2007,06.

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Date of creation: 2007
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Handle: RePEc:zbw:cauewp:5534

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Web page: http://www.wiso.uni-kiel.de/econ/

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Related research

Keywords: scaling ; generalized Hurst exponent ; multifractal model ; GMM estimation;

Other versions of this item:

• Paper
  • Thomas Lux & Di Matteo & Liu Ruipeng, 2007. "True and Apparent Scaling: The Proximity of the Markov- Switching Multifractal Model to Long-Range Dependence," Working Papers wp07-12, Warwick Business School, Financial Econometrics Research Centre. [Downloadable!]
  • Ruipeng Liu & T. Di Matteo & Thomas Lux, 2007. "True and Apparent Scaling: The Proximity of the Markov-Switching Multifractal Model to Long-Range Dependence," Quantitative Finance Papers 0704.1338, arXiv.org. [Downloadable!]

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This page was last updated on 2009-11-30.