Multifractal volatility: theory, forecasting, and pricing
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Burlington, MA
Academic Press
c2008
|
| Schriftenreihe: | Academic Press advanced finance series
|
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Beschreibung: | 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 Includes bibliographical references (p. [229]-250) and index |
| Beschreibung: | 1 Online-Ressource (xiii, 258 p.) |
| ISBN: | 9780121500139 0121500136 9780080559964 0080559964 |
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Datensatz im Suchindex
| _version_ | 1804152891743666176 |
|---|---|
| any_adam_object | |
| author | Calvet, Laurent E. |
| author_facet | Calvet, Laurent E. |
| author_role | aut |
| author_sort | Calvet, Laurent E. |
| author_variant | l e c le lec |
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| dewey-full | 332.01514742 |
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| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.01514742 |
| dewey-search | 332.01514742 |
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| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| isbn | 9780121500139 0121500136 9780080559964 0080559964 |
| language | English |
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| spelling | Calvet, Laurent E. Verfasser aut Multifractal volatility theory, forecasting, and pricing by Laurent E. Calvet, Adlai J. Fisher Burlington, MA Academic Press c2008 1 Online-Ressource (xiii, 258 p.) txt rdacontent c rdamedia cr rdacarrier Academic Press advanced finance series 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 Includes bibliographical references (p. [229]-250) and index BUSINESS & ECONOMICS / Finance bisacsh Economic forecasting / Econometric models local Finance / Econometric models local Multifractals local Wirtschaft Ökonometrisches Modell Finance Econometric models Economic forecasting Econometric models Multifractals Kreditmarkt (DE-588)4073788-3 gnd rswk-swf Ökonometrie (DE-588)4132280-0 gnd rswk-swf Hidden-Markov-Modell (DE-588)4352479-5 gnd rswk-swf Multifraktal (DE-588)4808941-2 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Volatilität (DE-588)4268390-7 gnd rswk-swf Electronic books 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 1\p DE-604 Finanzmathematik (DE-588)4017195-4 s Ökonometrie (DE-588)4132280-0 s 2\p DE-604 Fisher, Adlai Sonstige oth http://www.sciencedirect.com/science/book/9780121500139 Verlag Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Calvet, Laurent E. Multifractal volatility theory, forecasting, and pricing BUSINESS & ECONOMICS / Finance bisacsh Economic forecasting / Econometric models local Finance / Econometric models local Multifractals local Wirtschaft Ökonometrisches Modell Finance Econometric models Economic forecasting Econometric models Multifractals Kreditmarkt (DE-588)4073788-3 gnd Ökonometrie (DE-588)4132280-0 gnd Hidden-Markov-Modell (DE-588)4352479-5 gnd Multifraktal (DE-588)4808941-2 gnd Finanzmathematik (DE-588)4017195-4 gnd Volatilität (DE-588)4268390-7 gnd |
| subject_GND | (DE-588)4073788-3 (DE-588)4132280-0 (DE-588)4352479-5 (DE-588)4808941-2 (DE-588)4017195-4 (DE-588)4268390-7 |
| 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_full | Multifractal volatility theory, forecasting, and pricing by Laurent E. Calvet, Adlai J. Fisher |
| title_fullStr | Multifractal volatility theory, forecasting, and pricing by Laurent E. Calvet, Adlai J. Fisher |
| title_full_unstemmed | Multifractal volatility theory, forecasting, and pricing by 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 | BUSINESS & ECONOMICS / Finance bisacsh Economic forecasting / Econometric models local Finance / Econometric models local Multifractals local Wirtschaft Ökonometrisches Modell Finance Econometric models Economic forecasting Econometric models Multifractals Kreditmarkt (DE-588)4073788-3 gnd Ökonometrie (DE-588)4132280-0 gnd Hidden-Markov-Modell (DE-588)4352479-5 gnd Multifraktal (DE-588)4808941-2 gnd Finanzmathematik (DE-588)4017195-4 gnd Volatilität (DE-588)4268390-7 gnd |
| topic_facet | BUSINESS & ECONOMICS / Finance Economic forecasting / Econometric models Finance / Econometric models Multifractals Wirtschaft Ökonometrisches Modell Finance Econometric models Economic forecasting Econometric models Kreditmarkt Ökonometrie Hidden-Markov-Modell Multifraktal Finanzmathematik Volatilität |
| url | http://www.sciencedirect.com/science/book/9780121500139 |
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