Article ID Journal Published Year Pages File Type
979543 Physica A: Statistical Mechanics and its Applications 2007 8 Pages PDF
Abstract

In 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 (MSM) model. In order to see how well the estimated model captures the temporal dependence of the data, we estimate and compare the scaling exponents H(q)H(q) (for q=1,2q=1,2) for both empirical data and simulated data of the MSM model. In most cases the multifractal model appears to generate ‘apparent’ long memory in agreement with the empirical scaling laws.

Related Topics
Physical Sciences and Engineering Mathematics Mathematical Physics
Authors
, , ,