* 1 Result enter search term Search Reset filter Suchfilter Content Type Publications (1) Publicationtype Journal Article (1) Units International Macroeconomics (1) Macroeconomic Policy under Market Imperfections (1) Experts Ruipeng Liu (1) Thomas Lux (1) Tiziana Di Matteo (1) Date Last Month Last Year Select Period start date to end date Sort by Relevance Date Aktive Filter Publicationtype: Journal Article Tags: return volatility Remove all filters Journal Article Multifractality and Long-Range Dependence of Asset Returns: The Scaling Behaviour of the Markov-Switching Multifractal Model with Lognormal Volatility Components 01.10.2008 In this paper we consider daily financial data from various sources (stock market indices, foreign exchange rates and bonds) and analyze their multi-scaling properties by estimating the parameters of a Markov-switching multifractal model (MSM) with...
Journal Article Multifractality and Long-Range Dependence of Asset Returns: The Scaling Behaviour of the Markov-Switching Multifractal Model with Lognormal Volatility Components 01.10.2008 In this paper we consider daily financial data from various sources (stock market indices, foreign exchange rates and bonds) and analyze their multi-scaling properties by estimating the parameters of a Markov-switching multifractal model (MSM) with...