Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/3979 
Year of Publication: 
2007
Series/Report no.: 
Economics Working Paper No. 2007-06
Publisher: 
Kiel University, Department of Economics, Kiel
Abstract: 
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.
Subjects: 
Generalized Hurst exponent
Multifractal model
GMM estimation
Scaling
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.