Statistical Inference in Multifractal Random Walk Models for Financial Time Series
ISBN:
978-3-631-60673-5
Verlag:
Peter Lang GmbH, Internationaler Verlag der Wissenschaften
Land des Verlags:
Deutschland
Erscheinungsdatum:
15.04.2011
Reihe:
Volkswirtschaftliche Analysen
Format:
Softcover
Seitenanzahl:
102
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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.
Schlagwörter
Biografische Anmerkung
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.
