Statistical tests of distributional scaling properties for financial return series

DOI10.1080/14697688.2017.1298832zbMath1405.62141OpenAlexW2606419143MaRDI QIDQ4554491

Jose Olmo, Mark Hallam

Publication date: 14 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://repository.essex.ac.uk/19203/1/Tests_of_UF_Vs_MF_revision1_3.pdf

zbMATH Keywords

hypothesis testingmultifractalbootstrap inferencefinancial returnsunifractal

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Unnamed Item
• Multifractal detrended fluctuation analysis of nonstationary time series
• Volatility comovement: a multifrequency approach
• Multi-scale tests for serial correlation
• Continuous cascade models for asset returns
• Testing for jumps in conditionally Gaussian ARMA-GARCH models, a robust approach
• Scaling, self-similarity and multifractality in FX markets
• Scaling exponents and multifractal dimensions for independent random cascades
• Forecasting volatility under fractality, regime-switching, long memory and Student-\(t\) innovations
• A Markov-switching multifractal inter-trade duration model, with application to US equities
• Multi-scaling in finance
• Asymptotic Properties of the Detrended Fluctuation Analysis of Long-Range-Dependent Processes
• CLT and other limit theorems for functionals of Gaussian processes
• Weak convergence to fractional brownian motion and to the rosenblatt process
• Multifractality Tests Using Bootstrapped Wavelet Leaders
• Multifractal returns and hierarchical portfolio theory
• Stochastic Models That Separate Fractal Dimension and the Hurst Effect
• The Distribution of Realized Exchange Rate Volatility
• UNIT ROOT TESTS WITH WAVELETS
• Jump detection with wavelets for high-frequency financial time series
• Modelling stock price movements: multifractality or multifractionality?
• Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity
• MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS
• NEW INSIGHTS INTO THE ESTIMATION OF SCALING EXPONENTS
• Semiparametric bootstrap approach to hypothesis tests and confidence intervals for the Hurst coefficient
• Modelling financial time series using multifractal random walks

This page was built for publication: Statistical tests of distributional scaling properties for financial return series