{"product_id":"statistical-inference-in-multifractal-random-walk-models-for-financial-time-series","title":"Statistical Inference in Multifractal Random Walk Models for Financial Time Series","description":"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.","brand":"Peter Lang AG","offers":[{"title":"Default Title","offer_id":54262644506968,"sku":"9783631606735","price":26.5,"currency_code":"EUR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0278\/1295\/4195\/files\/9783631606735.jpg?v=1777777270","url":"https:\/\/agendabookshop.com\/products\/statistical-inference-in-multifractal-random-walk-models-for-financial-time-series","provider":"Agenda Bookshop","version":"1.0","type":"link"}