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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.

Ruipeng LiuTiziana di MatteoThomas Lux
Published in: Adv. Complex Syst. (2008)
Keyphrases
  • mathematical model
  • markov model
  • probabilistic model
  • data mining
  • information retrieval
  • hidden markov models
  • distance measure
  • topic models
  • long range dependence