Publication
Jun 2008
This paper analyzes the multi-scaling properties of longitudinal financial data. The data are derived from stock market indices, foreign exchange rates, and bonds using Markov switching multifractal models with lognormal volatility components. Multi-iterational simulation modeling is performed and binominal techniques from previous studies are evaluated and compared with the Markov model. The authors conclude there are similar results in discrete and continuous versions of multi-fractal processes.
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English (PDF, 15 pages, 398 KB) |
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Author | Ruipeng Liu, Tiziana Di Matteo, Thomas Lux |
Series | Kiel Institute Working Papers |
Issue | 1427 |
Publisher | Kiel Institute for the World Economy |
Copyright | © 2008 Kiel Institute for the World Economy |