132 citations · 256 across the 3 of their papers we have counts for
2 papers
q-fin.ST2012★ 132 cited
Understanding the source of multifractality in financial markets
Jozef Barunik, Tomaso Aste, Tiziana Di Matteo +1
In this paper, we use the generalized Hurst exponent approach to study the multi- scaling behavior of different financial time series. We show that this approach is robust and powe…
q-fin.ST2007★ 62 cited
True and Apparent Scaling: The Proximity of the Markov-Switching Multifractal Model to Long-Range Dependence
Ruipeng Liu, T. Di Matteo, Thomas Lux
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…