3 Results enter search term Search Reset filter Suchfilter Publication Type Working Paper (2) Journal Article (1) Research International Macroeconomics (3) Macroeconomic Research (3) Experts Ruipeng Liu (3) Thomas Lux (3) Tiziana Di Matteo (2) Publication Series Kiel Working Papers (2) Date Last Month Last Year Select Period start date to end date Sort by Relevance Date Aktive Filter Experts: Ruipeng Liu Remove all filters Working Paper Multifractality and Long-Range Dependence of Asset Returns: The Scaling Behaviour of the Markov-Switching Multifractal Model with Lognormal Volatility Components Kiel Working Papers 01/2008 Download Ruipeng Liu, Tiziana Di Matteo, Thomas Lux In this paper we consider daily financial data from various sources (stock market indices, foreign exchange rates and bonds) and analyze their... Journal Article Multifractality and Long-Range Dependence of Asset Returns: The Scaling Behaviour of the Markov-Switching Multifractal Model with Lognormal Volatility Components Advances in Complex Systems 10/2008 Download Ruipeng Liu, Tiziana Di Matteo, Thomas Lux In this paper we consider daily financial data from various sources (stock market indices, foreign exchange rates and bonds) and analyze their... Working Paper Flexible and Robust Modelling of Volatility Comovements: A Comparison of Two Multifractal Models Kiel Working Papers 02/2010 Download Ruipeng Liu, Thomas Lux Long memory (long-term dependence) of volatility counts as one of the ubiquitous stylized facts of financial data. Inspired by the long memory... Selected Publication Series Kiel Working Papers Kiel Policy Briefs Kiel Institute Economic Outlook Kiel Focus Review of World Economics
Working Paper Multifractality and Long-Range Dependence of Asset Returns: The Scaling Behaviour of the Markov-Switching Multifractal Model with Lognormal Volatility Components Kiel Working Papers 01/2008 Download Ruipeng Liu, Tiziana Di Matteo, Thomas Lux In this paper we consider daily financial data from various sources (stock market indices, foreign exchange rates and bonds) and analyze their...
Journal Article Multifractality and Long-Range Dependence of Asset Returns: The Scaling Behaviour of the Markov-Switching Multifractal Model with Lognormal Volatility Components Advances in Complex Systems 10/2008 Download Ruipeng Liu, Tiziana Di Matteo, Thomas Lux In this paper we consider daily financial data from various sources (stock market indices, foreign exchange rates and bonds) and analyze their...
Working Paper Flexible and Robust Modelling of Volatility Comovements: A Comparison of Two Multifractal Models Kiel Working Papers 02/2010 Download Ruipeng Liu, Thomas Lux Long memory (long-term dependence) of volatility counts as one of the ubiquitous stylized facts of financial data. Inspired by the long memory...
