Statistical Inference in Multifractal Random Walk Models for Financial Time Series
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Published By Peter Lang

9783631606735, 9783653007954

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4 The estimation procedure 39

Statistical Inference in Multifractal Random Walk Models for Financial Time Series ◽

10.3726/978-3-653-00795-4/9 ◽

2016 ◽

Keyword(s):

Estimation Procedure

3 The Multifractal Random Walk model 31

Statistical Inference in Multifractal Random Walk Models for Financial Time Series ◽

10.3726/978-3-653-00795-4/8 ◽

2016 ◽

Keyword(s):

Random Walk ◽

Random Walk Model ◽

Multifractal Random Walk

List of symbols 11

Statistical Inference in Multifractal Random Walk Models for Financial Time Series ◽

10.3726/978-3-653-00795-4/3 ◽

2016 ◽

D MATLAB code 93

Statistical Inference in Multifractal Random Walk Models for Financial Time Series ◽

10.3726/978-3-653-00795-4/18 ◽

2016 ◽

Keyword(s):

Matlab Code

2 The concept of multifractal volatility 23

Statistical Inference in Multifractal Random Walk Models for Financial Time Series ◽

10.3726/978-3-653-00795-4/7 ◽

2016 ◽

1 Introduction 19

Statistical Inference in Multifractal Random Walk Models for Financial Time Series ◽

10.3726/978-3-653-00795-4/6 ◽

2016 ◽

List of tables 17

Statistical Inference in Multifractal Random Walk Models for Financial Time Series ◽

10.3726/978-3-653-00795-4/5 ◽

2016 ◽

C The asymptotic distribution of the statistic M 87

Statistical Inference in Multifractal Random Walk Models for Financial Time Series ◽

10.3726/978-3-653-00795-4/17 ◽

2016 ◽

Keyword(s):

Asymptotic Distribution

9 Conclusion 73

Statistical Inference in Multifractal Random Walk Models for Financial Time Series ◽

10.3726/978-3-653-00795-4/14 ◽

2016 ◽

8 The efficient computation of HAC estimators 67

Statistical Inference in Multifractal Random Walk Models for Financial Time Series ◽

10.3726/978-3-653-00795-4/13 ◽

2016 ◽

Keyword(s):

Efficient Computation