股價指數期貨報酬率的多重碎形分析與小波轉換的模數最大值
碩士 === 國立政治大學 === 經濟研究所 === 94 === We apply the multifractal model of asset returns (MMAR), a class of continuous-time processes that incorporate the thick tails and volatility persistence of financial time series. The multifractal approach allows for higher moments of returns that may vary with t...
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| Format: | Others |
| Language: | en_US |
| Online Access: | http://ndltd.ncl.edu.tw/handle/57835498175213362309 |