Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/4304 
Erscheinungsjahr: 
2008
Schriftenreihe/Nr.: 
Kiel Working Paper No. 1427
Verlag: 
Kiel Institute for the World Economy (IfW), Kiel
Zusammenfassung: 
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 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 one uses sufficiently many volatility components. In comparison with a Binomial MSM specification [7], 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.
Schlagwörter: 
Scaling
Return volatility
Markov-switching multifractal
JEL: 
C22
G12
C22
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe





Publikationen in EconStor sind urheberrechtlich geschützt.