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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 Liu, Tiziana di Matteo, Thomas Lux. Multifractality and Long-Range Dependence of Asset returns: the Scaling Behavior of the Markov-Switching Multifractal Model with Lognormal volatility Components. Advances in Complex Systems, 11(5):669-684, 2008. [doi]

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