Statistical inference in multifractal random walk models for financial time series:
Saved in:
| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
Frankfurt am Main [u.a.]
Lang
2011
|
| Series: | Volkswirtschaftliche Analysen
18 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | 101 S. graph. Darst. |
| ISBN: | 9783631606735 |
Staff View
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Record in the Search Index
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| adam_text | IMAGE 1
CONTENTS
LIST OF ABBREVIATIONS 9
LIST OF SYMBOLS 11
LIST OF FIGURES 15
LIST OF TABLES 17
1 INTRODUCTION 19
2 THE CONCEPT OF MULTIFRACTAL VOLATILITY 23
2.1 THE EFFICIENT MARKETS HYPOTHESIS 23
2.2 STYLIZED FACTS OF FINANCIAL TIME SERIES 24
2.3 CLASSIC MODELS OF FINANCIAL VOLATILITY 25
2.4 MULTIFRACTAL VOLATILITY MODELS 27
3 THE MULTIFRACTAL RANDOM WALK MODEL 31
4 THE ESTIMATION PROCEDURE 39
4.1 THE ITERATED GMM ESTIMATION 39
4.2 THE HAC COVARIANCE MATRIX ESTIMATION 41
4.3 THE NUMERICAL MINIMIZATION PROCEDURE 43
4.4 THE INITIALIZATION METHOD FOR THE PARAMETER IN (C) 45
5 FINITE SAMPLE BEHAVIOUR OF THE ESTIMATION PROCEDURE 47 5.1 THE MONTE
CARLO SIMULATION STUDY 47
5.2 THE ESTIMATION PERFORMANCE 48
5.3 THE PERFORMANCE OF THE INITIALIZATION METHOD FOR IN (TR) 51 5.4 THE
ROBUSTNESS OF THE ESTIMATION PROCEDURE 52
6 STATISTICAL TESTING PROCEDURES 57
6.1 THE WALD TEST 57
BIBLIOGRAFISCHE INFORMATIONEN HTTP://D-NB.INFO/1010546791
DIGITALISIERT DURCH
IMAGE 2
8 CONTENTS
6.2 THE MULTIFRACTALITY TEST 59
7 EMPIRICAL STUDY 63
8 THE EFFICIENT COMPUTATION OF HAC ESTIMATORS 67
8.1 THE ALGORITHM 67
8.2 COMPUTATIONAL GAINS 69
9 CONCLUSION 73
A EMPIRICAL STUDY OF THE STYLIZED FACTS OF FINANCIAL TIME SERIES 77
B QQ PLOTS 83
C THE ASYMPTOTIC DISTRIBUTION OF THE STATISTIC M 87
D MATLAB CODE 93
REFERENCES 97
|
| any_adam_object | 1 |
| author | Sattarhoff, Cristina 1980- |
| author_GND | (DE-588)1011396599 |
| author_facet | Sattarhoff, Cristina 1980- |
| author_role | aut |
| author_sort | Sattarhoff, Cristina 1980- |
| author_variant | c s cs |
| building | Verbundindex |
| bvnumber | BV037417232 |
| classification_rvk | QH 170 QH 237 |
| ctrlnum | (OCoLC)741920238 (DE-599)DNB1010546791 |
| dewey-full | 332.0151922 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.0151922 |
| dewey-search | 332.0151922 |
| dewey-sort | 3332.0151922 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Thesis Book |
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| indexdate | 2024-07-09T23:23:53Z |
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| isbn | 9783631606735 |
| language | English |
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| physical | 101 S. graph. Darst. |
| publishDate | 2011 |
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| series | Volkswirtschaftliche Analysen |
| series2 | Volkswirtschaftliche Analysen |
| spelling | Sattarhoff, Cristina 1980- Verfasser (DE-588)1011396599 aut Statistical inference in multifractal random walk models for financial time series Cristina Sattarhoff Frankfurt am Main [u.a.] Lang 2011 101 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Volkswirtschaftliche Analysen 18 Zugl.: Hamburg, Univ., Diss., 2010 Irrfahrtsproblem (DE-588)4162442-7 gnd rswk-swf Volatilität (DE-588)4268390-7 gnd rswk-swf Zeitreihe (DE-588)4127298-5 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Volatilität (DE-588)4268390-7 s Irrfahrtsproblem (DE-588)4162442-7 s Zeitreihe (DE-588)4127298-5 s DE-604 Volkswirtschaftliche Analysen 18 (DE-604)BV035420142 18 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=022569556&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Sattarhoff, Cristina 1980- Statistical inference in multifractal random walk models for financial time series Volkswirtschaftliche Analysen Irrfahrtsproblem (DE-588)4162442-7 gnd Volatilität (DE-588)4268390-7 gnd Zeitreihe (DE-588)4127298-5 gnd |
| subject_GND | (DE-588)4162442-7 (DE-588)4268390-7 (DE-588)4127298-5 (DE-588)4113937-9 |
| title | Statistical inference in multifractal random walk models for financial time series |
| title_auth | Statistical inference in multifractal random walk models for financial time series |
| title_exact_search | Statistical inference in multifractal random walk models for financial time series |
| title_full | Statistical inference in multifractal random walk models for financial time series Cristina Sattarhoff |
| title_fullStr | Statistical inference in multifractal random walk models for financial time series Cristina Sattarhoff |
| title_full_unstemmed | Statistical inference in multifractal random walk models for financial time series Cristina Sattarhoff |
| title_short | Statistical inference in multifractal random walk models for financial time series |
| title_sort | statistical inference in multifractal random walk models for financial time series |
| topic | Irrfahrtsproblem (DE-588)4162442-7 gnd Volatilität (DE-588)4268390-7 gnd Zeitreihe (DE-588)4127298-5 gnd |
| topic_facet | Irrfahrtsproblem Volatilität Zeitreihe Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=022569556&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV035420142 |
| work_keys_str_mv | AT sattarhoffcristina statisticalinferenceinmultifractalrandomwalkmodelsforfinancialtimeseries |