Multifractal volatility: theory, forecasting, and pricing
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Amsterdam [u.a.]
Academic Press
2008
|
| Schriftenreihe: | Academic Press advanced finance series
|
| Schlagworte: | |
| Online-Zugang: | lizenzfrei Inhaltsverzeichnis |
| Beschreibung: | XIII, 258 S. graph. Darst. 23cm |
| ISBN: | 9780121500139 |
Internformat
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Datensatz im Suchindex
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| adam_text | MULTIFRACTAL VOLATILITY THEORY, FORECASTING, AND PRICING LAURENT E.
CALVET TANAKA BUSINESS SCHOOL, IMPERIAL COLLEGE HEC PARIS, FRANCE ADLAI
J. FISHER SAUDER SCHOOL OF BUSINESS, UNIVERSITY OF BRITISH COLUMBIA
AMSTERDAM * BOSTON * HEIDELBERG * LONDON NEW YORK * OXFORD * PARIS * SAN
DIEGO SAN FRANCISCO * SINGAPORE * SYDNEY * TOKYO RJ A^R 1 /V I P/IX
ACADEMIC PRESS IS AN IMPRINT OF ELSEVIER CONTENTS ACKNOWLEDGMENTS IX
FOREWORD XI CREDITS AND COPYRIGHT EXCEPTIONS XIV 1 INTRODUCTION 1 1.1
EMPIRICAL PROPERTIES OF FINANCIAL RETURNS 1 1.2 MODELING MULTIFREQUENCY
VOLATILITY 4 1.3 PRICING MULTIFREQUENCY RISK 6 1.4 CONTRIBUTIONS TO
MULTIFRACTAL LITERATURE 7 1.5 ORGANIZATION OF THE BOOK 8 1 DISCRETE TIME
11 2 BACKGROUND: DISCRETE-TIME VOLATILITY MODELING 13 2.1 AUTOREGRESSIVE
VOLATILITY MODELING 13 2.2 MARKOV-SWITCHING MODELS 16 3 THE
MARKOV-SWITCHING MULTIFRACTAL (MSM) IN DISCRETE TIME 19 3.1 THE MSM
MODEL OF STOCHASTIC VOLATILITY 20 3.1.1 DEFINITION 20 3.1.2 BASIC
PROPERTIES 22 3.1.3 LOW-FREQUENCY COMPONENTS AND LONG MEMORY 22 3.2
MAXIMUM LIKELIHOOD ESTIMATION 25 3.2.1 UPDATING THE STATE VECTOR 25
3.2.2 CLOSED-FORM LIKELIHOOD 26 3.3 EMPIRICAL RESULTS 26 3.3.1 CURRENCY
DATA 27 3.3.2 ML ESTIMATION RESULTS 27 3.3.3 MODEL SELECTION 32 3.4
COMPARISON WITH ALTERNATIVE MODELS 34 3.4.1 IN-SAMPLE COMPARISON I 35
3.4.2 OUT-OF-SAMPLE FORECASTS 35 3.4.3 COMPARISON WITH FIGARCH 42 3.5
DISCUSSION , 46 4 MULTIVARIATE MSM 49 4.1 COMOVEMENT OF UNIVARIATE
VOLATILITY COMPONENTS 50 4.1.1 COMOVEMENT OF EXCHANGE RATE VOLATILITY 50
4.1.2 CURRENCY VOLATILITY AND MACROECONOMIC INDICATORS 55 VI CONTENTS
4.2 A BIVARIATE MULTIFREQUENCY MODEL 60 4.2.1 THE STOCHASTIC VOLATILITY
SPECIFICATION 60 4.2.2 PROPERTIES 62 4.3 INFERENCE 63 4.3.1 CLOSED-FORM
LIKELIHOOD 63 4.3.2 PARTICLE FILTER 63 4.3.3 SIMULATED LIKELIHOOD 64
4.3.4 TWO-STEP ESTIMATION 66 4.4 EMPIRICAL RESULTS 67 4.4.1 BIVARIATE
MSM ESTIMATES 67 4.4.2 SPECIFICATION TESTS 71 4.4.3 OUT-OF-SAMPLE
DIAGNOSTICS 73 4.4.4 VALUE-AT-RISK * 75 4.5 DISCUSSION 77 II CONTINUOUS
TIME 79 5 BACKGROUND: CONTINUOUS-TIME VOLATILITY MODELING 81 5.1
CONTINUOUS-TIME MODELS OF ASSET PRICES 82 5.1.1 BROWNIAN MOTION, TIME
DEFORMATION, AND JUMP-DIFFUSIONS 82 5.1.2 SELF-SIMILAR (FRACTAL)
PROCESSES 83 5.2 MULTIFRACTAL MEASURES 84 5.2.1 THE BINOMIAL MEASURE 85
5.2.2 RANDOM MULTIPLICATIVE CASCADES 86 5.2.3 LOCAL SCALES AND THE
MULTIFRACTAL SPECTRUM 89 5.2.4 THE SPECTRUM OF MULTIPLICATIVE MEASURES
91 6 MULTIFRACTAL DIFFUSIONS THROUGH TIME DEFORMATION AND THE MMAR 95
6.1 MULTIFRACTAL PROCESSES 95 6.2 MULTIFRACTAL TIME DEFORMATION 96 6.3
THE MULTIFRACTAL MODEL OF ASSET RETURNS 98 6.3.1 UNCONDITIONAL
DISTRIBUTION OF RETURNS 98 6.3.2 LONG MEMORY IN VOLATILITY 99 6.3.3
SAMPLE PATHS 100 6.4 AN EXTENSION WITH AUTOCORRELATED RETURNS 101 6.5
CONNECTION WITH RELATED WORK 102 6.6 DISCUSSION 103 7 CONTINUOUS-TIME
MSM 105 7.1 MSM WITH FINITELY MANY COMPONENTS 106 7.2 MSM WITH COUNTABLY
MANY COMPONENTS 107 7.2.1 LIMITING TIME DEFORMATION 107 7.2.2
MULTIFRACTAL PRICE DIFFUSION 110 7.2.3 CONNECTION BETWEEN DISCRETE-TIME
AND CONTINUOUS-TIME VERSIONS OF MSM ILL 7.3 MSM WITH DEPENDENT ARRIVALS
114 7.4 CONNECTION WITH RELATED WORK 115 7.5 DISCUSSION 119 CONTENTS VII
POWER VARIATION 121 8.1 POWER VARIATION IN CURRENCY MARKETS 121 8.1.1
DATA 121 8.1.2 METHODOLOGY 123 8.1.3 MAIN EMPIRICAL RESULTS 123 8.1.4
COMPARISON OF MSM VS. ALTERNATIVE SPECIFICATIONS 129 8.1.5 GLOBAL TESTS
OF FIT 136 8.2 POWER VARIATION IN EQUITY MARKETS 137 8.3 ADDITIONAL
MOMENTS 139 8.4 DISCUSSION 141 III EQUILIBRIUM PRICING 143 9
MULTIFREQUENCY NEWS AND STOCK RETURNS 145 9.1 AN ASSET PRICING MODEL
WITH REGIME-SWITCHING DIVIDENDS 147 9.1.1 PREFERENCES, CONSUMPTION, AND
DIVIDENDS 148 9.1.2 ASSET PRICING UNDER COMPLETE INFORMATION 149 9.2
VOLATILITY FEEDBACK WITH MULTIFREQUENCY SHOCKS 151 9.2.1 MULTIFREQUENCY
DIVIDEND NEWS 151 9.2.2 EQUILIBRIUM STOCK RETURNS 152 9.3 EMPIRICAL
RESULTS WITH FULLY INFORMED INVESTORS 153 9.3.1 EXCESS RETURN DATA 153
9.3.2 MAXIMUM LIKELIHOOD ESTIMATION AND VOLATILITY FEEDBACK 154 9.3.3
COMPARISON WITH CAMPBELL AND HENTSCHEL (1992) 159 9.3.4 CONDITIONAL
INFERENCE 160 9.3.5 RETURN DECOMPOSITION 162 9.3.6 ALTERNATIVE
CALIBRATIONS 164 9.4 LEARNING ABOUT VOLATILITY AND ENDOGENOUS SKEWNESS
165 9.4.1 INVESTOR INFORMATION AND STOCK RETURNS 168 9.4.2 LEARNING
MODEL RESULTS 169 9.5 PREFERENCE IMPLICATIONS AND EXTENSION TO
MULTIFREQUENCY CONSUMPTION RISK 172 9.6 DISCUSSION 176 10 MULTIFREQUENCY
JUMP-DIFFUSIONS 177 10.1 AN EQUILIBRIUM MODEL WITH ENDOGENOUS PRICE
JUMPS 178 10.1.1 PREFERENCES, INFORMATION, AND INCOME 178 10.1.2
FINANCIAL MARKETS AND EQUILIBRIUM 179 10.1.3 EQUILIBRIUM DYNAMICS UNDER
ISOELASTIC UTILITY 181 10.2 A MULTIFREQUENCY JUMP-DIFFUSION FOR
EQUILIBRIUM STOCK PRICES 183 10.2.1 DIVIDENDS WITH MULTIFREQUENCY
VOLATILITY 183 10.2.2 MULTIFREQUENCY ECONOMIES 183 10.2.3 THE
EQUILIBRIUM STOCK PRICE 184 VIII CONTENTS 10.3 PRICE DYNAMICS WITH AN
INFINITY OF FREQUENCIES 185 10.4 RECURSIVE UTILITY AND PRICED JUMPS 189
10.5 DISCUSSION 191 11 CONCLUSION 193 A APPENDICES 197 A.I APPENDIX TO
CHAPTER 3 197 A.I.I PROOF OF PROPOSITION 1 197 A.I.2 HAC-ADJUSTED VUONG
TEST 200 A.2 APPENDIX TO CHAPTER 4 201 A.2.1 DISTRIBUTION OF THE ARRIVAL
VECTOR 201 A.2.2 ERGODIC DISTRIBUTION OF VOLATILITY COMPONENTS 201 A.2.3
PARTICLE FILTER 202 A.2.4 TWO-STEP ESTIMATION 203 A.2.5 VALUE-AT-RISK
FORECASTS 204 A.2.6 EXTENSION TO MANY ASSETS 204 A.3 APPENDIX TO CHAPTER
5 207 A.3.1 PROPERTIES OF V 207 A.3.2 INTERPRETATION OF F(CT) AS A
FRACTAL DIMENSION 207 A.3.3 HEURISTIC PROOF OF PROPOSITION 3 208 A.4
APPENDIX TO CHAPTER 6 209 A.4.1 CONCAVITY OF THE SCALING FUNCTION R(Q)
209 A.4.2 PROOF OF PROPOSITION 5 - 209 A.4.3 PROOF OF PROPOSITION 7 210
A.4.4 PROOF OF PROPOSITION 8 210 A.5 APPENDIX TO CHAPTER 7 211 A.5.1
MULTIVARIATE VERSION OF CONTINUOUS-TIME MSM 211 A.5.2 PROOF OF
PROPOSITION 9 212 A.5.3 PROOF OF PROPOSITION 10 214 A.5.4 PROOF OF
COROLLARY 1 216 A.5.5 PROOF OF PROPOSITION 11 216 A.5.6 MSM WITH
DEPENDENT ARRIVALS 218 A.5.7 AUTOCOVARIOGRAM OF LOG VOLATILITY IN MSM
219 A.5.8 LIMITING MRW PROCESS 219 A.6 APPENDIX TO CHAPTER 9 220 A.6.1
FULL-INFORMATION ECONOMIES 220 A.6.2 LEARNING ECONOMIES 223 A.6.3
MULTIFREQUENCY CONSUMPTION RISK 224 A.7 APPENDIX TO CHAPTER 10 224 A.7.1
PROOF OF PROPOSITION 13 224 A.7.2 MULTIVARIATE EXTENSIONS 225 A.7.3
PROOF OF PROPOSITION 14 226 A.7.4 PROOF OF PROPOSITION 15 227 REFERENCES
229 INDEX 251
|
| adam_txt |
MULTIFRACTAL VOLATILITY THEORY, FORECASTING, AND PRICING LAURENT E.
CALVET TANAKA BUSINESS SCHOOL, IMPERIAL COLLEGE HEC PARIS, FRANCE ADLAI
J. FISHER SAUDER SCHOOL OF BUSINESS, UNIVERSITY OF BRITISH COLUMBIA
AMSTERDAM * BOSTON * HEIDELBERG * LONDON NEW YORK * OXFORD * PARIS * SAN
DIEGO SAN FRANCISCO * SINGAPORE * SYDNEY * TOKYO RJ A^R 1 /V I P/IX
ACADEMIC PRESS IS AN IMPRINT OF ELSEVIER CONTENTS ACKNOWLEDGMENTS IX
FOREWORD XI CREDITS AND COPYRIGHT EXCEPTIONS XIV 1 INTRODUCTION 1 1.1
EMPIRICAL PROPERTIES OF FINANCIAL RETURNS 1 1.2 MODELING MULTIFREQUENCY
VOLATILITY 4 1.3 PRICING MULTIFREQUENCY RISK 6 1.4 CONTRIBUTIONS TO
MULTIFRACTAL LITERATURE 7 1.5 ORGANIZATION OF THE BOOK 8 1 DISCRETE TIME
11 2 BACKGROUND: DISCRETE-TIME VOLATILITY MODELING 13 2.1 AUTOREGRESSIVE
VOLATILITY MODELING 13 2.2 MARKOV-SWITCHING MODELS 16 3 THE
MARKOV-SWITCHING MULTIFRACTAL (MSM) IN DISCRETE TIME 19 3.1 THE MSM
MODEL OF STOCHASTIC VOLATILITY 20 3.1.1 DEFINITION 20 3.1.2 BASIC
PROPERTIES 22 3.1.3 LOW-FREQUENCY COMPONENTS AND LONG MEMORY 22 3.2
MAXIMUM LIKELIHOOD ESTIMATION 25 3.2.1 UPDATING THE STATE VECTOR 25
3.2.2 CLOSED-FORM LIKELIHOOD 26 3.3 EMPIRICAL RESULTS 26 3.3.1 CURRENCY
DATA 27 3.3.2 ML ESTIMATION RESULTS 27 3.3.3 MODEL SELECTION 32 3.4
COMPARISON WITH ALTERNATIVE MODELS 34 3.4.1 IN-SAMPLE COMPARISON I 35
3.4.2 OUT-OF-SAMPLE FORECASTS 35 3.4.3 COMPARISON WITH FIGARCH 42 3.5
DISCUSSION , 46 4 MULTIVARIATE MSM 49 4.1 COMOVEMENT OF UNIVARIATE
VOLATILITY COMPONENTS 50 4.1.1 COMOVEMENT OF EXCHANGE RATE VOLATILITY 50
4.1.2 CURRENCY VOLATILITY AND MACROECONOMIC INDICATORS 55 VI CONTENTS
4.2 A BIVARIATE MULTIFREQUENCY MODEL 60 4.2.1 THE STOCHASTIC VOLATILITY
SPECIFICATION 60 4.2.2 PROPERTIES 62 4.3 INFERENCE 63 4.3.1 CLOSED-FORM
LIKELIHOOD 63 4.3.2 PARTICLE FILTER 63 4.3.3 SIMULATED LIKELIHOOD 64
4.3.4 TWO-STEP ESTIMATION 66 4.4 EMPIRICAL RESULTS 67 4.4.1 BIVARIATE
MSM ESTIMATES 67 4.4.2 SPECIFICATION TESTS 71 4.4.3 OUT-OF-SAMPLE
DIAGNOSTICS 73 4.4.4 VALUE-AT-RISK * 75 4.5 DISCUSSION 77 II CONTINUOUS
TIME 79 5 BACKGROUND: CONTINUOUS-TIME VOLATILITY MODELING 81 5.1
CONTINUOUS-TIME MODELS OF ASSET PRICES 82 5.1.1 BROWNIAN MOTION, TIME
DEFORMATION, AND JUMP-DIFFUSIONS 82 5.1.2 SELF-SIMILAR (FRACTAL)
PROCESSES 83 5.2 MULTIFRACTAL MEASURES 84 5.2.1 THE BINOMIAL MEASURE 85
5.2.2 RANDOM MULTIPLICATIVE CASCADES 86 5.2.3 LOCAL SCALES AND THE
MULTIFRACTAL SPECTRUM 89 5.2.4 THE SPECTRUM OF MULTIPLICATIVE MEASURES
91 6 MULTIFRACTAL DIFFUSIONS THROUGH TIME DEFORMATION AND THE MMAR 95
6.1 MULTIFRACTAL PROCESSES 95 6.2 MULTIFRACTAL TIME DEFORMATION 96 6.3
THE MULTIFRACTAL MODEL OF ASSET RETURNS 98 6.3.1 UNCONDITIONAL
DISTRIBUTION OF RETURNS 98 6.3.2 LONG MEMORY IN VOLATILITY 99 6.3.3
SAMPLE PATHS 100 6.4 AN EXTENSION WITH AUTOCORRELATED RETURNS 101 6.5
CONNECTION WITH RELATED WORK 102 6.6 DISCUSSION 103 7 CONTINUOUS-TIME
MSM 105 7.1 MSM WITH FINITELY MANY COMPONENTS 106 7.2 MSM WITH COUNTABLY
MANY COMPONENTS 107 7.2.1 LIMITING TIME DEFORMATION 107 7.2.2
MULTIFRACTAL PRICE DIFFUSION 110 7.2.3 CONNECTION BETWEEN DISCRETE-TIME
AND CONTINUOUS-TIME VERSIONS OF MSM ILL 7.3 MSM WITH DEPENDENT ARRIVALS
114 7.4 CONNECTION WITH RELATED WORK 115 7.5 DISCUSSION 119 CONTENTS VII
POWER VARIATION 121 8.1 POWER VARIATION IN CURRENCY MARKETS 121 8.1.1
DATA 121 8.1.2 METHODOLOGY 123 8.1.3 MAIN EMPIRICAL RESULTS 123 8.1.4
COMPARISON OF MSM VS. ALTERNATIVE SPECIFICATIONS 129 8.1.5 GLOBAL TESTS
OF FIT 136 8.2 POWER VARIATION IN EQUITY MARKETS 137 8.3 ADDITIONAL
MOMENTS 139 8.4 DISCUSSION 141 III EQUILIBRIUM PRICING 143 9
MULTIFREQUENCY NEWS AND STOCK RETURNS 145 9.1 AN ASSET PRICING MODEL
WITH REGIME-SWITCHING DIVIDENDS 147 9.1.1 PREFERENCES, CONSUMPTION, AND
DIVIDENDS 148 9.1.2 ASSET PRICING UNDER COMPLETE INFORMATION 149 9.2
VOLATILITY FEEDBACK WITH MULTIFREQUENCY SHOCKS 151 9.2.1 MULTIFREQUENCY
DIVIDEND NEWS 151 9.2.2 EQUILIBRIUM STOCK RETURNS 152 9.3 EMPIRICAL
RESULTS WITH FULLY INFORMED INVESTORS 153 9.3.1 EXCESS RETURN DATA 153
9.3.2 MAXIMUM LIKELIHOOD ESTIMATION AND VOLATILITY FEEDBACK 154 9.3.3
COMPARISON WITH CAMPBELL AND HENTSCHEL (1992) 159 9.3.4 CONDITIONAL
INFERENCE 160 9.3.5 RETURN DECOMPOSITION 162 9.3.6 ALTERNATIVE
CALIBRATIONS 164 9.4 LEARNING ABOUT VOLATILITY AND ENDOGENOUS SKEWNESS
165 9.4.1 INVESTOR INFORMATION AND STOCK RETURNS 168 9.4.2 LEARNING
MODEL RESULTS 169 9.5 PREFERENCE IMPLICATIONS AND EXTENSION TO
MULTIFREQUENCY CONSUMPTION RISK 172 9.6 DISCUSSION 176 10 MULTIFREQUENCY
JUMP-DIFFUSIONS 177 10.1 AN EQUILIBRIUM MODEL WITH ENDOGENOUS PRICE
JUMPS 178 10.1.1 PREFERENCES, INFORMATION, AND INCOME 178 10.1.2
FINANCIAL MARKETS AND EQUILIBRIUM 179 10.1.3 EQUILIBRIUM DYNAMICS UNDER
ISOELASTIC UTILITY 181 10.2 A MULTIFREQUENCY JUMP-DIFFUSION FOR
EQUILIBRIUM STOCK PRICES 183 10.2.1 DIVIDENDS WITH MULTIFREQUENCY
VOLATILITY 183 10.2.2 MULTIFREQUENCY ECONOMIES 183 10.2.3 THE
EQUILIBRIUM STOCK PRICE 184 VIII CONTENTS 10.3 PRICE DYNAMICS WITH AN
INFINITY OF FREQUENCIES 185 10.4 RECURSIVE UTILITY AND PRICED JUMPS 189
10.5 DISCUSSION 191 11 CONCLUSION 193 A APPENDICES 197 A.I APPENDIX TO
CHAPTER 3 197 A.I.I PROOF OF PROPOSITION 1 197 A.I.2 HAC-ADJUSTED VUONG
TEST 200 A.2 APPENDIX TO CHAPTER 4 201 A.2.1 DISTRIBUTION OF THE ARRIVAL
VECTOR 201 A.2.2 ERGODIC DISTRIBUTION OF VOLATILITY COMPONENTS 201 A.2.3
PARTICLE FILTER 202 A.2.4 TWO-STEP ESTIMATION 203 A.2.5 VALUE-AT-RISK
FORECASTS 204 A.2.6 EXTENSION TO MANY ASSETS 204 A.3 APPENDIX TO CHAPTER
5 207 A.3.1 PROPERTIES OF V 207 A.3.2 INTERPRETATION OF F(CT) AS A
FRACTAL DIMENSION 207 A.3.3 HEURISTIC PROOF OF PROPOSITION 3 208 A.4
APPENDIX TO CHAPTER 6 209 A.4.1 CONCAVITY OF THE SCALING FUNCTION R(Q)
209 A.4.2 PROOF OF PROPOSITION 5 - 209 A.4.3 PROOF OF PROPOSITION 7 210
A.4.4 PROOF OF PROPOSITION 8 210 A.5 APPENDIX TO CHAPTER 7 211 A.5.1
MULTIVARIATE VERSION OF CONTINUOUS-TIME MSM 211 A.5.2 PROOF OF
PROPOSITION 9 212 A.5.3 PROOF OF PROPOSITION 10 214 A.5.4 PROOF OF
COROLLARY 1 216 A.5.5 PROOF OF PROPOSITION 11 216 A.5.6 MSM WITH
DEPENDENT ARRIVALS 218 A.5.7 AUTOCOVARIOGRAM OF LOG VOLATILITY IN MSM
219 A.5.8 LIMITING MRW PROCESS 219 A.6 APPENDIX TO CHAPTER 9 220 A.6.1
FULL-INFORMATION ECONOMIES 220 A.6.2 LEARNING ECONOMIES 223 A.6.3
MULTIFREQUENCY CONSUMPTION RISK 224 A.7 APPENDIX TO CHAPTER 10 224 A.7.1
PROOF OF PROPOSITION 13 ' 224 A.7.2 MULTIVARIATE EXTENSIONS 225 A.7.3
PROOF OF PROPOSITION 14 226 A.7.4 PROOF OF PROPOSITION 15 227 REFERENCES
229 INDEX 251 |
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| author | Calvet, Laurent E. 1969- Fisher, Adlai |
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| author_sort | Calvet, Laurent E. 1969- |
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| callnumber-search | HB141 |
| callnumber-sort | HB 3141 |
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| dewey-ones | 332 - Financial economics |
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| discipline | Wirtschaftswissenschaften |
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| id | DE-604.BV035183569 |
| illustrated | Illustrated |
| index_date | 2024-07-02T22:58:53Z |
| indexdate | 2024-07-09T21:26:55Z |
| institution | BVB |
| isbn | 9780121500139 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016990287 |
| oclc_num | 213839313 |
| open_access_boolean | |
| owner | DE-703 DE-11 DE-19 DE-BY-UBM |
| owner_facet | DE-703 DE-11 DE-19 DE-BY-UBM |
| physical | XIII, 258 S. graph. Darst. 23cm |
| publishDate | 2008 |
| publishDateSearch | 2008 |
| publishDateSort | 2008 |
| publisher | Academic Press |
| record_format | marc |
| series2 | Academic Press advanced finance series |
| spelling | Calvet, Laurent E. 1969- Verfasser (DE-588)128649739 aut Multifractal volatility theory, forecasting, and pricing Laurent E. Calvet ; Adlai J. Fisher Amsterdam [u.a.] Academic Press 2008 XIII, 258 S. graph. Darst. 23cm txt rdacontent n rdamedia nc rdacarrier Academic Press advanced finance series Ökonometrisches Modell Economic forecasting Econometric models Finance Econometric models Multifractals Hidden-Markov-Modell (DE-588)4352479-5 gnd rswk-swf Ökonometrie (DE-588)4132280-0 gnd rswk-swf Volatilität (DE-588)4268390-7 gnd rswk-swf Multifraktal (DE-588)4808941-2 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 s Volatilität (DE-588)4268390-7 s Hidden-Markov-Modell (DE-588)4352479-5 s Multifraktal (DE-588)4808941-2 s DE-604 Finanzmathematik (DE-588)4017195-4 s Ökonometrie (DE-588)4132280-0 s Fisher, Adlai Verfasser (DE-588)13056575X aut http://www.gbv.de/dms/zbw/569681588.pdf lizenzfrei Inhaltsverzeichnis GBV Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016990287&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Calvet, Laurent E. 1969- Fisher, Adlai Multifractal volatility theory, forecasting, and pricing Ökonometrisches Modell Economic forecasting Econometric models Finance Econometric models Multifractals Hidden-Markov-Modell (DE-588)4352479-5 gnd Ökonometrie (DE-588)4132280-0 gnd Volatilität (DE-588)4268390-7 gnd Multifraktal (DE-588)4808941-2 gnd Kreditmarkt (DE-588)4073788-3 gnd Finanzmathematik (DE-588)4017195-4 gnd |
| subject_GND | (DE-588)4352479-5 (DE-588)4132280-0 (DE-588)4268390-7 (DE-588)4808941-2 (DE-588)4073788-3 (DE-588)4017195-4 |
| title | Multifractal volatility theory, forecasting, and pricing |
| title_auth | Multifractal volatility theory, forecasting, and pricing |
| title_exact_search | Multifractal volatility theory, forecasting, and pricing |
| title_exact_search_txtP | Multifractal volatility theory, forecasting, and pricing |
| title_full | Multifractal volatility theory, forecasting, and pricing Laurent E. Calvet ; Adlai J. Fisher |
| title_fullStr | Multifractal volatility theory, forecasting, and pricing Laurent E. Calvet ; Adlai J. Fisher |
| title_full_unstemmed | Multifractal volatility theory, forecasting, and pricing Laurent E. Calvet ; Adlai J. Fisher |
| title_short | Multifractal volatility |
| title_sort | multifractal volatility theory forecasting and pricing |
| title_sub | theory, forecasting, and pricing |
| topic | Ökonometrisches Modell Economic forecasting Econometric models Finance Econometric models Multifractals Hidden-Markov-Modell (DE-588)4352479-5 gnd Ökonometrie (DE-588)4132280-0 gnd Volatilität (DE-588)4268390-7 gnd Multifraktal (DE-588)4808941-2 gnd Kreditmarkt (DE-588)4073788-3 gnd Finanzmathematik (DE-588)4017195-4 gnd |
| topic_facet | Ökonometrisches Modell Economic forecasting Econometric models Finance Econometric models Multifractals Hidden-Markov-Modell Ökonometrie Volatilität Multifraktal Kreditmarkt Finanzmathematik |
| url | http://www.gbv.de/dms/zbw/569681588.pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016990287&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT calvetlaurente multifractalvolatilitytheoryforecastingandpricing AT fisheradlai multifractalvolatilitytheoryforecastingandpricing |