{"product_id":"statistical-inference-in-multifractal-random-peter-stahlecker-9783631606735","title":"Statistical Inference in Multifractal Random Walk Models for Financial Time Series","description":"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.\u003cbr\u003e\u003cbr\u003e\u003cb\u003eAuthor:\u003c\/b\u003e Peter Stahlecker,Cristina Sattarhoff\u003cbr\u003e\u003cb\u003eISBN-10:\u003c\/b\u003e 3631606737\u003cbr\u003e\u003cb\u003eISBN-13:\u003c\/b\u003e 9783631606735\u003cbr\u003e\u003cb\u003ePublisher:\u003c\/b\u003e Peter Lang Gmbh, Internationaler Verlag Der W\u003cbr\u003e\u003cb\u003eLanguage:\u003c\/b\u003e English\u003cbr\u003e\u003cb\u003ePublished:\u003c\/b\u003e 04\/15\/2011\u003cbr\u003e\u003cb\u003ePages:\u003c\/b\u003e 102\u003cbr\u003e\u003cb\u003eFormat:\u003c\/b\u003e Paperback","brand":"Peter Stahlecker","offers":[{"title":"Paperback","offer_id":48450104328447,"sku":"9783631606735","price":42.1,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0662\/2982\/9887\/files\/img_02411d92-44ce-4044-9e63-7e20f44157b7.jpg?v=1777266234","url":"https:\/\/www.whiterainbookhouse.com\/products\/statistical-inference-in-multifractal-random-peter-stahlecker-9783631606735","provider":"WR Book House","version":"1.0","type":"link"}