Statistical Inference in Multifractal Random Walk Models for Financial Time Series |
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Author:
| Sattarhoff, Cristina |
Series title: | Volkswirtschaftliche Analysen Ser. |
ISBN: | 978-3-631-60673-5 |
Publication Date: | Apr 2011 |
Publisher: | Peter Lang GmbH, Internationaler Verlag der Wissenschaften
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Book Format: | Paperback |
List Price: | AUD $55.95 |
Book Description:
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The dynamics of financial returns varies with the return period, from high-frequency data to daily, quarterly or annual data. Multifractal Random Walk models can capture the statistical relation between returns and return periods, thus facilitating a more accurate representation of real price changes. This book provides a generalized method of moments estimation technique for the model parameters with enhanced performance in finite samples, and a novel testing procedure for...
More DescriptionThe dynamics of financial returns varies with the return period, from high-frequency data to daily, quarterly or annual data. Multifractal Random Walk models can capture the statistical relation between returns and return periods, thus facilitating a more accurate representation of real price changes. This book provides a generalized method of moments estimation technique for the model parameters with enhanced performance in finite samples, and a novel testing procedure for multifractality. The resource-efficient computer-based manipulation of large datasets is a typical challenge in finance. In this connection, this book also proposes a new algorithm for the computation of heteroscedasticity and autocorrelation consistent (HAC) covariance matrix estimators that can cope with large datasets.