Liu, Ruipeng; Di Matteo, T.; Lux, Thomas - In: Physica A: Statistical Mechanics and its Applications 383 (2007) 1, pp. 35-42
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 (MSM) model. In order to see how well the...