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]
@article{LiuML08-0,
title = {Multifractality and Long-Range Dependence of Asset returns: the Scaling Behavior of the Markov-Switching Multifractal Model with Lognormal volatility Components},
author = {Ruipeng Liu and Tiziana di Matteo and Thomas Lux},
year = {2008},
doi = {10.1142/S0219525908001969},
url = {http://dx.doi.org/10.1142/S0219525908001969},
tags = {Markov},
researchr = {https://researchr.org/publication/LiuML08-0},
cites = {0},
citedby = {0},
journal = {Advances in Complex Systems},
volume = {11},
number = {5},
pages = {669-684},
}