True and Apparent Scaling: The Proximity of the Markov- Switching Multifractal Model to Long-Range Dependence
AbstractIn 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. --
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Christian-Albrechts-University of Kiel, Department of Economics in its series Economics Working Papers with number 2007,06.
Date of creation: 2007
Date of revision:
Scaling; Generalized Hurst exponent; Multifractal model; GMM estimation;
Other versions of this item:
- Liu, Ruipeng & Di Matteo, T. & Lux, Thomas, 2007. "True and apparent scaling: The proximity of the Markov-switching multifractal model to long-range dependence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 383(1), pages 35-42.
- Ruipeng Liu & T. Di Matteo & Thomas Lux, 2007. "True and Apparent Scaling: The Proximity of the Markov-Switching Multifractal Model to Long-Range Dependence," Papers 0704.1338, arXiv.org.
- 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, Finance Group.
- NEP-ALL-2007-05-12 (All new papers)
- NEP-ECM-2007-05-12 (Econometrics)
- NEP-ETS-2007-05-12 (Econometric Time Series)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Laurent Calvet & Adlai Fisher, 1999.
"Forecasting Multifractal Volatility,"
New York University, Leonard N. Stern School Finance Department Working Paper Seires
99-017, New York University, Leonard N. Stern School of Business-.
- Laurent Calvet, 2000. "Forecasting Multifractal Volatility," Harvard Institute of Economic Research Working Papers 1902, Harvard - Institute of Economic Research.
- Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996.
"Fractionally integrated generalized autoregressive conditional heteroskedasticity,"
Journal of Econometrics,
Elsevier, vol. 74(1), pages 3-30, September.
- Tom Doan, . "RATS programs to replicate Baillie, Bollerslev, Mikkelson FIGARCH results," Statistical Software Components RTZ00009, Boston College Department of Economics.
- Thierry Roncalli & Gael Riboulet & Ashkan Nikeghbali & Vado Durrleman & Erick Bouy?, 2001. "Copulas: an Open Field for Risk Management," Working Papers wp01-01, Warwick Business School, Finance Group.
- Jozef Barunik & Tomaso Aste & Tiziana Di Matteo & Ruipeng Liu, 2012.
"Understanding the source of multifractality in financial markets,"
1201.1535, arXiv.org, revised Jan 2012.
- Barunik, Jozef & Aste, Tomaso & Di Matteo, T. & Liu, Ruipeng, 2012. "Understanding the source of multifractality in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(17), pages 4234-4251.
- Raffaello Morales & T. Di Matteo & Ruggero Gramatica & Tomaso Aste, 2011. "Dynamical Hurst exponent as a tool to monitor unstable periods in financial time series," Papers 1109.0465, arXiv.org.
- Malo, Pekka, 2009. "Modeling electricity spot and futures price dependence: A multifrequency approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(22), pages 4763-4779.
- Wei, Yu & Wang, Yudong & Huang, Dengshi, 2011. "A copula–multifractal volatility hedging model for CSI 300 index futures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(23), pages 4260-4272.
- Thomas Lux & Leonardo Morales-Arias & Cristina Sattarhoff, 2011. "A Markov-switching Multifractal Approach to Forecasting Realized Volatility," Kiel Working Papers 1737, Kiel Institute for the World Economy.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (ZBW - German National Library of Economics).
If references are entirely missing, you can add them using this form.