Statistical Inference in Multifractal Random Walk Models for Financial Time Series - Couverture souple

Sattarhoff, Cristina

 
9783631606735: Statistical Inference in Multifractal Random Walk Models for Financial Time Series
Couverture souple
ISBN 10 : 3631606737 ISBN 13 : 9783631606735
Editeur : Peter Lang AG, 2011

Synopsis

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.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

À propos de l?auteur

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.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
Peter Lang AG
Date d'édition
2011
Langue
anglais
ISBN 10 
3631606737
ISBN 13 
9783631606735
Reliure
Broché
Nombre de pages
102
Coordonnées du fabricant
non disponible
Personne responsable
non disponible