Statistical tests of distributional scaling properties for financial return series

DOI10.1080/14697688.2017.1298832MaRDI QIDQ4554491zbMATH OpenOpenAlexFDO

Authors Mark Hallam, Jose Olmo

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 testingbootstrap inferencemultifractalfinancial 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)

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Cites work

• scientific article; zbMATH DE number 1368020 (Why is no real title available?)
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Cited in

(8)

• Regularity of irregularity: Testing for monofractality by multifractal tools
• A robust statistical approach to select adequate error distributions for financial returns
• A test of financial time-series data to discriminate among lognormal, Gaussian and square-root random walks
• Non-parametric tests of returns to scale
• Scaling issues for risky asset modelling
• Measuring multiscaling in financial time-series
• Scaling transformation and probability distributions for financial time series
• Scaling, self-similarity and multifractality in FX markets

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