Statistical inference in multifractal random walk models for financial time series
Auteur :
Sattarhoff, Cristina
Éditeur :
Peter Lang AG
ISBN :
9783631606735
Date de publication :
15 avr. 2011
Dimensions :
21,0 x 14,8 cm
Poids :
150 g
Langue :
Anglais
Pays d'origine :
Suisse
Multifractal Random Walk models can capture statistical relation between returns and return periods, thus facilitating an accurate representation of real price changes. This book provides a method of moments estimation technique for model parameters with enhanced performance in finite samples, and a novel testing procedure for multifractality.