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Liu, R., Matteo, T.D. and Lux, T. (2008) Multifractality and Long-Range Dependence of Asset Returns: The Scaling Behaviour of the Markov-Switching Multifractal Model with Lognormal Volatility Components. Advances in Complex Systems, 11, 669-684.
https://doi.org/10.1142/S0219525908001969

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