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Statistical Inference in Multifractal Random Walk Models for Financial Time Series

Statistical Inference in Multifractal Random Walk Models for Financial Time Series( )
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
Book Format:Paperback
List Price:AUD $55.95
Book Description:

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 Description

Book Details
Pages:102
Detailed Subjects: Business & Economics / Personal Finance / General
Physical Dimensions (W X L X H):13.995 x 21.006 cm
Book Weight:0.14 Kilograms



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