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Statistical Inference in Multifractal Random Walk Models for Financial Time Series: 18 (Volkswirtschaftliche Analysen) - Softcover
Synopsis
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 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.
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Review
«[...] I find that the essential concept of multifractality is explained rather well given the length of the book. The book is written in an understandable way and is easy to read. Therefore, I find the book a very well realized introduction to MMF, espacially MRW. As a result, it is highly recommendable as introductory literature for any reader with interest in this research field.» (Vahidin Jeleskovic, Jahrbücher für Nationalökonomie und Statistik 232, 2012/6)
About the Author
Cristina Sattarhoff holds a Diploma in Business Administration from the University of Hamburg. From 2005 to 2010 she worked as a research assistant at the Institute of Statistics and Econometrics of the University of Hamburg and received her PhD in Economics.
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- PublisherPeter Lang AG
- Publication date2011
- ISBN 10 3631606737
- ISBN 13 9783631606735
- BindingPaperback
- LanguageEnglish
- Number of pages102
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Statistical Inference in Multifractal Random Walk Models for Financial Time Series
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Peter Lang Ltd. International Academic Publishers Apr 2011, 2011
ISBN 10: 3631606737
ISBN 13: 9783631606735
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Seller: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Germany
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Taschenbuch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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 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. 102 pp. Englisch. Seller Inventory # 9783631606735
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Statistical Inference in Multifractal Random Walk Models for Financial Time Series
Seller: AHA-BUCH GmbH, Einbeck, Germany
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Taschenbuch. Condition: Neu. Druck auf Anfrage Neuware - Printed after ordering - 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 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. Seller Inventory # 9783631606735
Quantity: 2 available
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Statistical Inference in Multifractal Random Walk Models for Financial Time Series
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Taschenbuch. Condition: Neu. Statistical Inference in Multifractal Random Walk Models for Financial Time Series | Cristina Sattarhoff | Taschenbuch | Englisch | Peter Lang | EAN 9783631606735 | Verantwortliche Person für die EU: Zeitfracht Medien GmbH, Ferdinand-Jühlke-Str. 7, 99095 Erfurt, produktsicherheit[at]zeitfracht[dot]de | Anbieter: preigu. Seller Inventory # 103831627
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