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  5. Statistical Inference in Multifractal Random Walk Models for Financial Time Series

Statistical Inference in Multifractal Random Walk Models for Financial Time Series

af Cristina Sattarhoff

indgår i Volkswirtschaftliche Analysen serien

Statistical Inference in Multifractal Random Walk Models for Financial Time Series af Cristina Sattarhoff
Bag om Statistical Inference in Multifractal Random Walk Models for Financial Time Series

Multifractal Random Walk models can capture statistical relation between returns and return periods, thus facilitating an accurate representation of real price changes. This book provides a method of moments estimation technique for model parameters with enhanced performance in finite samples, and a novel testing procedure for multifractality.

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  • Sprog:
  • Engelsk
  • ISBN:
  • 9783631606735
  • Indbinding:
  • Paperback
  • Sideantal:
  • 102
  • Udgivet:
  • 15. april 2011
  • Udgave:
  • Størrelse:
  • 210x150x7 mm.
  • Vægt:
  • 146 g.
  • 2-4 uger.
  • 18. december 2024

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Multifractal Random Walk models can capture statistical relation between returns and return periods, thus facilitating an accurate representation of real price changes. This book provides a method of moments estimation technique for model parameters with enhanced performance in finite samples, and a novel testing procedure for multifractality.

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