Multifractal Volatility
Theory, Forecasting, and Pricing
(Sprache: Englisch)
Forecasting volatility is one of the major challenges in the field of finance. Calvet and Fisher present a powerful, new technique for volatility modeling. Drawing on insights from the use of multifractals in the natural sciences and mathematics, they show...
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Forecasting volatility is one of the major challenges in the field of finance. Calvet and Fisher present a powerful, new technique for volatility modeling. Drawing on insights from the use of multifractals in the natural sciences and mathematics, they show how to construct regime-switching models that contain multiple durations, are easy to estimate, and outperform some of the best traditional forecasting models such as GARCH. Their preliminary work has been well-received in the top academic journals and this is the first time they present their research in a comprehensive way. The book is suitable for a PhD courses in Economics/ Finance, or a short course for practitioners on volatility modeling.
Klappentext zu „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 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.
Inhaltsverzeichnis zu „Multifractal Volatility “
PrefaceChapter 1 Introduction
Chapter 2 Background
Chapter 3 The Multifractal Volatility Model: The MMAR
Chapter 4 The Marko-Switching Multifractal (MSM) in Discrete Time
Chapter 5. Multivariate MSM
Chapter 6 The Marko-Switching Multifractal in Continuous Time
Chapter 7 Multifrequency News and Stock Returns
Chapter 8 Multifrequency Jump Diffusions
Chapter 9 Conclusion
Appendices
Autoren-Porträt von Calvet
By Laurent E. Calvet and Adlai J. Fisher
Bibliographische Angaben
- Autor: Calvet
- 2008, 272 Seiten, Maße: 15,2 x 22,6 cm, Gebunden, Englisch
- Verlag: Academic Press
- ISBN-10: 0121500136
- ISBN-13: 9780121500139
Sprache:
Englisch
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