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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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
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