Statistical Inference in Multifractal Random Walk Models for Financial Time Series
Language: English
Published by Peter Lang, 2011
- Softcover
- New
Seller: AHA-BUCH GmbH, Einbeck, GermanyAHA-BUCH GmbH
AbeBooks seller since August 14, 2006
Condition: New
£ 29.87
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Add to basketItem description from seller
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.; Dissertationsschrift.
Seller Inventory # 9783631606735
- Title
- Statistical Inference in Multifractal Random Walk Models for Financial Time Series
- Author
- Cristina Sattarhoff
- Publisher
- Peter Lang
- Publication year
- 2011
- Condition
- Neu
- Binding
- Taschenbuch
- Language
- English
- ISBN 10
- 3631606737
- ISBN 13
- 9783631606735
- Item weight
- 150 grams
- Dimensions
- 210x148x5 mm
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