Picture 1 of 1
Stock photo
Picture 1 of 1
Stock photo
Academic Press Advanced Finance Ser.: Multifractal Volatility : Theory, Forecasting, and Pricing by Adlai J. Fisher and Laurent E. Calvet (2008, Hardcover)
Awesomebooksusa (440078)
97.9% positive feedback
Price:
$93.18
Free shipping
Returns:
30 days returns. Buyer pays for return shipping. If you use an eBay shipping label, it will be deducted from your refund amount.
Condition:
Title: Multifractal Volatility: Theory, Forecasting, and Pricing (Acade Item Condition: New. Author: Laurent E. Calvet, Adlai J. Fisher ISBN 10: 0121500136. Books will be free of page markings. ).
- Buy It NowMultifractal Volatility: Theory, Forecasting, a, Calvet, Fisher.=
Oops! Looks like we're having trouble connecting to our server.
Refresh your browser window to try again.
About this product
Product Identifiers
PublisherElsevier Science & Technology
ISBN-100121500136
ISBN-139780121500139
eBay Product ID (ePID)65897726
Product Key Features
Number of Pages272 Pages
Publication NameMultifractal Volatility : Theory, Forecasting, and Pricing
LanguageEnglish
SubjectBanks & Banking, Finance / General, Economics / Macroeconomics, Forecasting
Publication Year2008
TypeTextbook
Subject AreaBusiness & Economics
AuthorAdlai J. Fisher, Laurent E. Calvet
SeriesAcademic Press Advanced Finance Ser.
FormatHardcover
Dimensions
Item Weight35.3 Oz
Item Length9 in
Item Width6 in
Additional Product Features
Intended AudienceScholarly & Professional
LCCN2008-300668
IllustratedYes
Table Of ContentPreface Chapter 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
SynopsisCalvet 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, 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.
LC Classification NumberHB3730
All listings for this product
Be the first to write a review
