Long-termvs.short-term comovements in stock markets: the use of Markov-switching multifractal models
本文利用马尔可夫转换多重分形模型，从不同时间维度分析1996至2008年间四个主要股指的联动性，发现2008年9月是全球性危机波及所有市场与时间维度的空前例证。
During financial crises, interest is strong for analysing market comovements. However, a majority of these analyses is based only on correlations. This article uses Markov switching multifractal models to derive new indicators by considering different horizons for dependency among four stock indices (NYSE FTSE DAX CAC) between 1996 and 2008. The detection of crises, extreme volatility comovements or the co-cycle lengths are derived. In this context, September 2008 appears to be an unprecedented example of global crisis, extended to all horizons and markets.