Multifractal Volatility

This book PDF is perfect for those who love Business & Economics genre, written by Laurent E. Calvet and published by Academic Press which was released on 13 October 2008 with total hardcover pages 272. You could read this book directly on your devices with pdf, epub and kindle format, check detail and related Multifractal Volatility books below.

Multifractal Volatility
Author : Laurent E. Calvet
File Size : 47,6 Mb
Publisher : Academic Press
Language : English
Release Date : 13 October 2008
ISBN : 0080559964
Pages : 272 pages
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Multifractal Volatility by Laurent E. Calvet Book PDF Summary

Calvet and Fisher present a powerful, new technique for volatility forecasting that draws on insights from the use of multifractals in the natural sciences and mathematics and provides a unified treatment of the use of multifractal techniques in finance. A large existing literature (e.g., Engle, 1982; Rossi, 1995) models volatility as an average of past shocks, possibly with a noise component. This approach often has difficulty capturing sharp discontinuities and large changes in financial volatility. Their research has shown the advantages of modelling volatility as subject to abrupt regime changes of heterogeneous durations. Using the intuition that some economic phenomena are long-lasting while others are more transient, they permit regimes to have varying degrees of persistence. By drawing on insights from the use of multifractals in the natural sciences and mathematics, they show how to construct high-dimensional regime-switching models that are easy to estimate, and substantially outperform some of the best traditional forecasting models such as GARCH. The goal of Multifractal Volatility is to popularize the approach by presenting these exciting new developments to a wider audience. They emphasize both theoretical and empirical applications, beginning with a style that is easily accessible and intuitive in early chapters, and extending to the most rigorous continuous-time and equilibrium pricing formulations in final chapters. Presents a powerful new technique for forecasting volatility Leads the reader intuitively from existing volatility techniques to the frontier of research in this field by top scholars at major universities The first comprehensive book on multifractal techniques in finance, a cutting-edge field of research

Multifractal Volatility

Calvet and Fisher present a powerful, new technique for volatility forecasting that draws on insights from the use of multifractals in the natural sciences and mathematics and provides a unified treatment of the use of multifractal techniques in finance. A large existing literature (e.g., Engle, 1982; Rossi, 1995) models volatility as

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