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Universalities in the dynamics of cryptocurrencies : stability, scaling and size
Pogudin, Andrey; Chakrabati, Anindya S.; Di Matteo, Tiziana - In: The journal of network theory in finance 5 (2019) 4, pp. 63-95
Persistent link: https://www.econbiz.de/10012489291
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Multifractality and Long-Range Dependence of Asset Returns: The Scaling Behaviour of the Markov-Switching Multifractal Model with Lognormal Volatility Components
Liu, Ruipeng; Matteo, Tiziana Di; Lux, Thomas - Institut für Weltwirtschaft (IfW) - 2008
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...
Persistent link: https://www.econbiz.de/10005076121
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Multifractality and long-range dependence of asset returns: The scaling behaviour of the Markov-switching multifractal model with lognormal volatility components
Liu, Ruipeng; Di Matteo, Tiziana; Lux, Thomas - 2008
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...
Persistent link: https://www.econbiz.de/10010295131
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Multifractality and long-range dependence of asset returns: The scaling behaviour of the Markov-switching multifractal model with lognormal volatility components
Liu, Ruipeng; Di Matteo, Tiziana; Lux, Thomas - Institut für Volkswirtschaftslehre, … - 2008
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...
Persistent link: https://www.econbiz.de/10005082829
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MULTIFRACTALITY AND LONG-RANGE DEPENDENCE OF ASSET RETURNS: THE SCALING BEHAVIOR OF THE MARKOV-SWITCHING MULTIFRACTAL MODEL WITH LOGNORMAL VOLATILITY COMPONENTS
LIU, RUIPENG; MATTEO, T. DI; LUX, THOMAS - In: Advances in Complex Systems (ACS) 11 (2008) 05, pp. 669-684
In this paper, we consider daily financial data from various sources (stock market indices, foreign exchange rates and bonds) and analyze their multiscaling properties by estimating the parameters of a Markov-switching multifractal (MSM) model with Lognormal volatility components. In order to...
Persistent link: https://www.econbiz.de/10005047404