MULTIFRACTALITY AND LONG-RANGE DEPENDENCE OF ASSET RETURNS: THE SCALING BEHAVIOR OF THE MARKOV-SWITCHING MULTIFRACTAL MODEL WITH LOGNORMAL VOLATILITY COMPONENTS

DOI10.1142/S0219525908001969zbMath1156.91455OpenAlexW2152020049MaRDI QIDQ3603957

Rui Peng Liu, Thomas C. H. Lux, Tiziana Di Matteo

Publication date: 24 February 2009

Published in: Advances in Complex Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219525908001969

Mathematics Subject Classification ID

Economic time series analysis (91B84) Multisectoral models in economics (91B66)

Related Items (2)

Measuring multiscaling in financial time-series ⋮ On the interplay between multiscaling and stock dependence

Uses Software

• longmemo

Cites Work

• Unnamed Item
• Long-range dependence in the conditional variance of stock returns
• Scaling behaviors in differently developed markets
• Multi-scaling in finance
• Intermittent turbulence in self-similar cascades: divergence of high moments and dimension of the carrier
• Long-Term Memory in Stock Market Prices

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