Statistical Inference in Multifractal Random Walk Models for Financial Time Series
Peter Lang AGSivumäärä: 102 sivuaAsu: Pehmeäkantinen kirjaPainos: New editionJulkaisuvuosi: 2011, 15.04.2011 (lisätietoa)Kieli: Englanti 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.