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Multifractal volatility = theory, fo...
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Fisher, Adlai.
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Multifractal volatility = theory, forecasting, and pricing /
紀錄類型:
書目-語言資料,印刷品 : Monograph/item
正題名/作者:
Multifractal volatility/ by Laurent E. Calvet, Adlai J. Fisher.
其他題名:
theory, forecasting, and pricing /
作者:
Calvet, Laurent E.
其他作者:
Fisher, Adlai.
出版者:
Burlington, MA ;Academic Press, : c2008.,
面頁冊數:
xiii, 258 p. :ill. ;24 cm.
叢書名:
Academic Press advanced finance series
內容註:
Preface -- Introduction -- Background -- The Multifractal Volatility Model: The MMAR -- The Marko-Switching Multifractal (MSM) in Discrete Time -- Multivariate MSM -- The Marko-Switching Multifractal in Continuous Time -- Multifrequency News and Stock Returns -- Multifrequency Jump Diffusions -- Conclusion -- Appendices.
標題:
Economic forecasting - Econometric models. -
電子資源:
http://www.sciencedirect.com/science/book/9780121500139An electronic book accessible through the World Wide Web; click for information
ISBN:
0121500136
Multifractal volatility = theory, forecasting, and pricing /
Calvet, Laurent E.
Multifractal volatility
theory, forecasting, and pricing /[electronic resource] :by Laurent E. Calvet, Adlai J. Fisher. - Burlington, MA ;Academic Press,c2008. - xiii, 258 p. :ill. ;24 cm. - Academic Press advanced finance series.
Includes bibliographical references (p. [229]-250) and index.
Preface -- Introduction -- Background -- The Multifractal Volatility Model: The MMAR -- The Marko-Switching Multifractal (MSM) in Discrete Time -- Multivariate MSM -- The Marko-Switching Multifractal in Continuous Time -- Multifrequency News and Stock Returns -- Multifrequency Jump Diffusions -- Conclusion -- Appendices.
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 their book 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.
Electronic reproduction.
Amsterdam :
Elsevier Science & Technology,
2008.
Mode of access: World Wide Web.
ISBN: 0121500136
Source: 103962:103983Elsevier Science & Technologyhttp://www.sciencedirect.comSubjects--Topical Terms:
670144
Economic forecasting
--Econometric models.Index Terms--Genre/Form:
542853
Electronic books.
LC Class. No.: HB141 / .C35 2008eb
Dewey Class. No.: 332.01514742
Multifractal volatility = theory, forecasting, and pricing /
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Preface -- Introduction -- Background -- The Multifractal Volatility Model: The MMAR -- The Marko-Switching Multifractal (MSM) in Discrete Time -- Multivariate MSM -- The Marko-Switching Multifractal in Continuous Time -- Multifrequency News and Stock Returns -- Multifrequency Jump Diffusions -- Conclusion -- Appendices.
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