English, Article edition: MULTIFRACTALITY AND LONG-RANGE DEPENDENCE OF ASSET RETURNS: THE SCALING BEHAVIOR OF THE MARKOV-SWITCHING MULTIFRACTAL MODEL WITH LOGNORMAL VOLATILITY COMPONENTS RUIPENG LIU; T. DI MATTEO; THOMAS LUX

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Bookmark: http://trove.nla.gov.au/version/143592
Physical Description
  • article
Language
  • English

Edition details

Title
  • MULTIFRACTALITY AND LONG-RANGE DEPENDENCE OF ASSET RETURNS: THE SCALING BEHAVIOR OF THE MARKOV-SWITCHING MULTIFRACTAL MODEL WITH LOGNORMAL VOLATILITY COMPONENTS
Author
  • RUIPENG LIU
  • T. DI MATTEO
  • THOMAS LUX
Physical Description
  • article
Notes
  • In this paper, we consider daily financial data from various sources (stock market indices, foreign exchange rates and bonds) and analyze their multiscaling properties by estimating the parameters of a Markov-switching multifractal (MSM) model with Lognormal volatility components. In order to see how well estimated models capture the temporal dependency of the empirical data, we estimate and compare (generalized) Hurst exponents for both empirical data and simulated MSM models. In general, the Lognormal MSM models generate "apparent" long memory in good agreement with empirical scaling provided that one uses sufficiently many volatility components. In comparison with a Binomial MSM specification [11], results are almost identical. This suggests that a parsimonious discrete specification is flexible enough and the gain from adopting the continuous Lognormal distribution is very limited.
  • Markov-switching multifractal, scaling, Hurst exponent
  • RePEc:wsi:acsxxx:v:11:y:2008:i:05:p:669-684
Language
  • English
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