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• Ruipeng Liu

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Paper provided by Christian-Albrechts-University of Kiel, Department of Economics in its series Economics Working Papers with number 2008,09.

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Date of creation: 2008
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Handle: RePEc:zbw:cauewp:7371

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

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Related research

Keywords: Markov-switching multifractal ; scaling ; return volatility;

Other versions of this item:

• Article
  • Ruipeng Liu & T. Di Matteo & Thomas Lux, 2008. "Multifractality And Long-Range Dependence Of Asset Returns: The Scaling Behavior Of The Markov-Switching Multifractal Model With Lognormal Volatility Components," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 11(05), pages 669-684. [Downloadable!] (restricted)
• Paper
  • Ruipeng Liu & Tiziana Di Matteo & Thomas Lux, 2008. "Multifractality and Long-Range Dependence of Asset Returns: The Scaling Behaviour of the Markov-Switching Multifractal Model with Lognormal Volatility Components," Kiel Working Papers 1427, Kiel Institute for the World Economy. [Downloadable!]

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This page was last updated on 2009-12-8.