Nonlinear Behaviors of Tail Dependence and Cross-Correlation of Financial Time Series Model

Table 3

Multifractal spectra for real markets and simulated data.

Data	Δ𝛼𝑙	Δ𝛼𝑟	Δ𝑓	FAE
SSE and SZSE	0.3708	0.2628	0.0278	0.1705
Pair of S.data1	0.3245	0.2912	0.0142	0.0541
Pair of S.data2	0.3707	0.1673	−0.3967	0.3780