Multifractal volatility : theory, forecasting, and pricing /

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.

Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Calvet, Laurent E.
Otros Autores: Fisher, Adlai
Formato: Electrónico eBook
Idioma:Inglés
Publicado: London : Academic, 2008.
Colección:Academic Press advanced finance series.
Temas:
Finance > Econometric models.
Economic forecasting > Econometric models.
Multifractals.
Finances > Mod�eles �econom�etriques.
Pr�evision �economique > Mod�eles �econom�etriques.
Multifractales.
BUSINESS & ECONOMICS > Finance.
Economic forecasting > Econometric models
Finance > Econometric models
Multifractals
Acceso en línea:Texto completo
Tabla de Contenidos:
  • 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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