Statistical Inference in Multifractal Random Walk Models for Financial Time Series - Bog af Cristina Sattarhoff - Paperback

Statistical Inference in Multifractal Random Walk Models for Financial Time Series - Cristina Sattarhoff

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.