Browsing All of EconStor by Author Liu, Ruipeng
Showing results 1 to 4 of 4
Year of Publication | Title | Author(s) |
2007 | True and Apparent Scaling: The Proximity of the Markov- Switching Multifractal Model to Long-Range Dependence | Liu, Ruipeng; Di Matteo, Tiziana; Lux, Thomas |
2008 | Multifractality and long-range dependence of asset returns: The scaling behaviour of the Markov-switching multifractal model with lognormal volatility components | Liu, Ruipeng; Di Matteo, Tiziana; Lux, Thomas |
2008 | Multifractality and long-range dependence of asset returns: The scaling behaviour of the Markov-switching multifractal model with lognormal volatility components | Liu, Ruipeng; Di Matteo, Tiziana; Lux, Thomas |
2010 | Flexible and robust modelling of volatility comovements: a comparison of two multifractal models | Liu, Ruipeng; Lux, Thomas |