Statistical tests of distributional scaling properties for financial return series
DOI10.1080/14697688.2017.1298832zbMATH Open1405.62141OpenAlexW2606419143MaRDI QIDQ4554491FDOQ4554491
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
Recommendations
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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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
- Scaling transformation and probability distributions for financial time series
- Measuring multiscaling in financial time-series
- Scaling, self-similarity and multifractality in FX markets
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