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Multifractal volatilitytheory, forec...

Calvet, Laurent E.

Multifractal volatilitytheory, forecasting, and pricing /

Record Type:	Electronic resources : Monograph/item
Title/Author:	Multifractal volatilityby Laurent E. Calvet, Adlai J. Fisher.
Reminder of title:	theory, forecasting, and pricing /
Author:	Calvet, Laurent E.
other author:	Fisher, Adlai.
Published:	Burlington, MA ;Academic Press,c2008.
Description:	xiii, 258 p. :ill. ;24 cm.
Series:	Academic Press advanced finance series
Subject:	FinanceEconometric models.
Online resource:	An electronic book accessible through the World Wide Web; click for information
ISBN:	9780121500139

Multifractal volatilitytheory, forecasting, and pricing /
Calvet, Laurent E.

Multifractal volatilitytheory, 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: 9780121500139

Source: 103962:103983Elsevier Science & Technologyhttp://www.sciencedirect.comSubjects--Topical Terms:

187320
Finance
--Econometric models.Index Terms--Genre/Form:

214472
Electronic books.

LC Class. No.: HB141 / .C35 2008eb

Dewey Class. No.: 332.01514742

Multifractal volatilitytheory, forecasting, and pricing /
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245 1 0 $a Multifractal volatility $h [electronic resource] : $b theory, forecasting, and pricing / $c by Laurent E. Calvet, Adlai J. Fisher.
260 $a Burlington, MA ; $a London : $c c2008. $b Academic Press,
300 $a xiii, 258 p. : $b ill. ; $c 24 cm.
440 0 $a Academic Press advanced finance series
504 $a Includes bibliographical references (p. [229]-250) and index.
505 0 $a 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.
520 $a 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.
533 $a Electronic reproduction. $b Amsterdam : $c Elsevier Science & Technology, $d 2008. $n Mode of access: World Wide Web. $n System requirements: Web browser. $n Title from title screen (viewed on Dec. 9, 2008). $n Access may be restricted to users at subscribing institutions.
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655 7 $a Electronic books. $2 local. $3 214472
700 1 $a Fisher, Adlai. $3 341242
710 2 $a ScienceDirect (Online service) $3 307425
856 4 0 $3 ScienceDirect $u http://www.sciencedirect.com/science/book/9780121500139 $z An electronic book accessible through the World Wide Web; click for information
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