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Statistical Inference in Multifractal Random Walk Models for Financial Time Series

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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  • Språk:
  • Engelska
  • ISBN:
  • 9783631606735
  • Format:
  • Häftad
  • Sidor:
  • 102
  • Utgiven:
  • 15. april 2011
  • Utgåva:
  • Mått:
  • 210x150x7 mm.
  • Vikt:
  • 146 g.
  Fri leverans
Leveranstid: 2-4 veckor
Förväntad leverans: 5. december 2024

Beskrivning av 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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