Search Type
  • All
  • Subject
  • Title
  • Author
  • Publisher
  • Series Title
Search Title

Download

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:USD $31.95
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):5.51 x 8.27 Inches
Book Weight:0.308 Pounds



Featured Books

The Water Dancer (Oprah's Book Club)
Coates, Ta-Nehisi
Electronic book text:
Finding Chika
Albom, Mitch
Hardback: $24.99
Alice's Adventures in Wonderland
Carroll, Lewis
Paperback: $6.95

Rate this title:

Select your rating below then click 'submit'.






I do not wish to rate this title.