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Liu, Ruipeng
Di Matteo, Tiziana
Lux, Thomas
Year of Publication: 
Series/Report no.: 
Economics working paper / Christian-Albrechts-Universität Kiel, Department of Economics 2007,06
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 model (MSM). In order to see how well the estimated models capture the temporal dependence of the data, we estimate and compare the scaling exponents H(q) (for q = 1; 2) for both empirical data and simulated data of the estimated MSM models. In most cases the multifractal model appears to generate `apparent' long memory in agreement with the empirical scaling laws.
Generalized Hurst exponent
Multifractal model
GMM estimation
Document Type: 
Working Paper

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