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,...
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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.
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