Statistical Inference in Multifractal Random Walk Models for Financial Time Series. Reihe: Volkswirtschaftliche Analysen - Band 18.

Language: German

Published by Frankfurt, Berlin, Bern, Bruxelles, New York, Oxford, Wien: Lang, 2011

3631606737 / 9783631606735

  • Softcover
  • Used
See all details

Seller: Borkert, Schwarz und Zerfaß GbR, Berlin, GermanyBorkert, Schwarz und Zerfaß GbR

5-star seller

AbeBooks seller since October 18, 2005

Association member: BOEVGIAQ

View this seller's items
Softcover

Condition: Used - As new

£ 6.18

£ 34.30 shipping 
Ships from Germany to U.S.A.

Quantity: 1 available

Add to basket
Free 30-day returns

Item description from seller

101 S. Tadelloses Exemplar. - Contents: Financial econometrics Multifractal volatility Multifractal Random Walk GMM estimation Monte Carlo simulation study Multifractality test Empirical analysis of international stock index data Financial markets efficiency HAC estimation Stylized facts of financial time series Fat-tailed distribution Scale invariance MATLAB. - 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. (Verlagstext). ISBN 9783631606735 Sprache: Deutsch Gewicht in Gramm: 550.

Seller Inventory # 1023401

Title
Statistical Inference in Multifractal Random Walk Models for Financial Time Series. Reihe: Volkswirtschaftliche Analysen - Band 18.
Author
Sattarhoff, Cristina:
Publisher
Frankfurt, Berlin, Bern, Bruxelles, New York, Oxford, Wien: Lang
Publication year
2011
Condition
Wie neu
Binding
Originalbroschur.
Language
German
ISBN 10
3631606737
ISBN 13
9783631606735
Item weight
550 grams
Seller catalogs
Volkswirtschaftslehre

Borkert, Schwarz und Zerfaß GbR

Berlin, Germany

5-star seller

AbeBooks seller since October 18, 2005

Association member:

Shipping rates from Germany to U.S.A.

Item5 to 10 business days2 to 4 business days
First item£ 34.30£ 85.75
Delivery times are set by sellers and vary by carrier and location. Orders passing through Customs may face delays and buyers are responsible for any associated duties or fees. Sellers may contact you regarding additional charges to cover any increased costs to ship your items.

Payment methods

  • Visa
  • Mastercard
  • American Express
  • Apple Pay
  • Google Pay
  • Bank Wire Transfer
  • Cash
  • Invoice
  • Paypal

Store description

One of Germanys biggest second-hand bookshops! Wir sind ein reines Versandantiquariat, Besuche zum Abholen oder Inspizieren von Büchern sind aber möglich.

Association member

  • Börsenverein des Deutschen Buchhandels
  • Genossenschaft Der Internet Antiquare
Members of these associations are committed to maintaining the highest standards. They vouch for the authenticity of all items offered for sale. They provide expert and detailed descriptions, disclose all significant defects and/or restorations, provide clear and accurate pricing, and operate with fairness and honesty during the purchase experience.

Seller's business information

Borkert, Schwarz und Zerfaß GbR

Holzhauser Str. 44 Fundus Online GbR
Berlin, Germany 13509