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

Volumn 11, Issue 5, 2008, Pages 669-684

  Liu, Ruipeng ^a,b   Di Matteo, T ^c   Lux, Thomas ^b,d  

^a DEAKIN UNIVERSITY   (Australia)

^b UNIVERSITY OF KIEL   (Germany)

^c AUSTRALIAN NATIONAL UNIVERSITY   (Australia)

^d KIEL INSTITUTE FOR THE WORLD ECONOMY   (Germany)

Author keywords

Hurst exponent; Markov switching multifractal; Scaling

Indexed keywords

EID: 57249084069     PISSN: 02195259     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0219525908001969     Document Type: Article

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