Statistical Inference in Multifractal Random Walk Models for Financial Time Series by Stahlecker, Peter

Statistical Inference in Multifractal Random Walk Models for Financial Time Series (Paperback) (ISBN-13: 9783631606735)

Vendor: Peter Stahlecker
Product type: Books
Format: Paperback
$42.10
$42.10
$42.10
Subtotal: $42.10
Statistical Inference in Multifractal Random Walk Models for Financial Time Series by Stahlecker, Peter

Statistical Inference in Multifractal Random Walk Models for Financial Time Series

$42.10
Statistical Inference in Multifractal Random Walk Models for Financial Time Series by Stahlecker, Peter

Statistical Inference in Multifractal Random Walk Models for Financial Time Series

$42.10
Format: Paperback
Description
Description
x
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.

Author: Peter Stahlecker,Cristina Sattarhoff
ISBN-10: 3631606737
ISBN-13: 9783631606735
Publisher: Peter Lang Gmbh, Internationaler Verlag Der W
Language: English
Published: 04/15/2011
Pages: 102
Format: Paperback
By Peter Stahlecker
By Peter Stahlecker
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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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