EAN: 9783631606735

Bilder-Quelle: shopping24.de – Sport

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.

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19.03.2025 um 10:56 Uhr

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