Multifractal Volatility

Written By Laurent E. Calvet
Multifractal Volatility
  • Publsiher : Academic Press
  • Release : 13 October 2008
  • ISBN : 9780080559964
  • Pages : 272 pages
  • Rating : 4/5 from 1 reviews
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Download or read book entitled Multifractal Volatility by author: Laurent E. Calvet which was release on 13 October 2008 and published by Academic Press with total page 272 pages . This book available in PDF, EPUB and Kindle Format. 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. 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

Multifractal Volatility

Multifractal Volatility
  • Author : Laurent E. Calvet,Adlai J. Fisher
  • Publisher : Academic Press
  • Release Date : 2008-10-13
  • Total pages : 272
  • ISBN : 9780080559964
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Summary : 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 ...

FOREASTING MULTIFRACTAL VOLATILITY

FOREASTING MULTIFRACTAL VOLATILITY
  • Author : Laurent CALVET
  • Publisher : Unknown
  • Release Date : 2000
  • Total pages : 212
  • ISBN : 9780080559964
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Summary : Read online FOREASTING MULTIFRACTAL VOLATILITY written by Laurent CALVET, published by which was released on 2000. Download full FOREASTING MULTIFRACTAL VOLATILITY Books now! Available in PDF, ePub and Kindle....

Research on Volatility and Contagion Effect in Stock Market

Research on Volatility and Contagion Effect in Stock Market
  • Author : Dexiang Mei,Wang Chen,Yunyun Sun
  • Publisher : Scientific Research Publishing, Inc. USA
  • Release Date : 2020-12-06
  • Total pages : 131
  • ISBN : 9780080559964
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Summary : The volatility has been one of the cores of the financial theory research, in addition to the stock markets is an important part of modern financial markets. Research on volatility and contagion effect in stock market is an important part of the theory of financial markets research. This book in-cludes ...

Multifractal Based Network Traffic Modeling

Multifractal Based Network Traffic Modeling
  • Author : Murali Krishna P,Vikram M. Gadre,Uday B. Desai
  • Publisher : Springer Science & Business Media
  • Release Date : 2012-12-06
  • Total pages : 210
  • ISBN : 9780080559964
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Summary : This helpful book provides an overview of existing broadband traffic modelling based on the Poisson process and its variants. It also offers very good coverage of models based on self-similar processes. The authors have focused throughout on the problem of broadband traffic modelling....

The Oxford Handbook of Computational Economics and Finance

The Oxford Handbook of Computational Economics and Finance
  • Author : Shu-Heng Chen,Mak Kaboudan,Ye-Rong Du
  • Publisher : Oxford University Press
  • Release Date : 2018-01-12
  • Total pages : 784
  • ISBN : 9780080559964
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Summary : The Oxford Handbook of Computational Economics and Finance provides a survey of both the foundations of and recent advances in the frontiers of analysis and action. It is both historically and interdisciplinarily rich and also tightly connected to the rise of digital society. It begins with the conventional view of ...

Volatility Comovement

Volatility Comovement
  • Author : Laurent E. Calvet,Adlai J. Fisher,Samuel B. Thompson
  • Publisher : Unknown
  • Release Date : 2004
  • Total pages : 40
  • ISBN : 9780080559964
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Summary : We implement a multifrequency volatility decomposition of three exchange rates and show that components with similar durations are strongly correlated across series. This motivates a bivariate extension of the Markov-Switching Multifractal (MSM) introduced in Calvet and Fisher (2001, 2004). Bivariate MSM is a stochastic volatility model with a closed-form likelihood. Estimation can ...

Noise and Fluctuations in Econophysics and Finance

Noise and Fluctuations in Econophysics and Finance
  • Author : Derek Abbott
  • Publisher : Society of Photo Optical
  • Release Date : 2005
  • Total pages : 348
  • ISBN : 9780080559964
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Summary : Proceedings of SPIE present the original research papers presented at SPIE conferences and other high-quality conferences in the broad-ranging fields of optics and photonics. These books provide prompt access to the latest innovations in research and technology in their respective fields. Proceedings of SPIE are among the most cited references ...

Frequency of Observation and the Estimation of Integrated Volatility in Deep and Liquid Financial Markets

Frequency of Observation and the Estimation of Integrated Volatility in Deep and Liquid Financial Markets
  • Author : Alain Chaboud
  • Publisher : Unknown
  • Release Date : 2008
  • Total pages : 46
  • ISBN : 9780080559964
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Summary : Using two newly available ultrahigh-frequency datasets, we investigate empirically how frequently one can sample certain foreign exchange and U.S. Treasury security returns without contaminating estimates of their integrated volatility with market microstructure noise. We find that one can sample FX returns as frequently as once every 15 to 20 seconds without ...

Journal of Econometrics

Journal of Econometrics
  • Author : Anonim
  • Publisher : Unknown
  • Release Date : 2001
  • Total pages : 212
  • ISBN : 9780080559964
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Summary : Read online Journal of Econometrics written by , published by which was released on 2001. Download full Journal of Econometrics Books now! Available in PDF, ePub and Kindle....

The Journal of the Korean Physical Society

The Journal of the Korean Physical Society
  • Author : Anonim
  • Publisher : Unknown
  • Release Date : 2008
  • Total pages : 212
  • ISBN : 9780080559964
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Summary : Read online The Journal of the Korean Physical Society written by , published by which was released on 2008. Download full The Journal of the Korean Physical Society Books now! Available in PDF, ePub and Kindle....

Israel Journal of Earth Sciences

Israel Journal of Earth Sciences
  • Author : Anonim
  • Publisher : Unknown
  • Release Date : 2007
  • Total pages : 212
  • ISBN : 9780080559964
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Summary : Read online Israel Journal of Earth Sciences written by , published by which was released on 2007. Download full Israel Journal of Earth Sciences Books now! Available in PDF, ePub and Kindle....

Are Multifractal Processes Suited to Forecasting Electricity Price Volatility

Are Multifractal Processes Suited to Forecasting Electricity Price Volatility
  • Author : Mawuli Segnon,Chi Keung Lau,Bernd Wilfling,Rangan Gupta
  • Publisher : Unknown
  • Release Date : 2017
  • Total pages : 212
  • ISBN : 9780080559964
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Summary : Read online Are Multifractal Processes Suited to Forecasting Electricity Price Volatility written by Mawuli Segnon,Chi Keung Lau,Bernd Wilfling,Rangan Gupta, published by which was released on 2017. Download full Are Multifractal Processes Suited to Forecasting Electricity Price Volatility Books now! Available in PDF, ePub and Kindle....

Complexity in Economics Macroeconomics financial markets and international economics

Complexity in Economics  Macroeconomics  financial markets  and international economics
  • Author : John Barkley Rosser
  • Publisher : Unknown
  • Release Date : 2004
  • Total pages : 212
  • ISBN : 9780080559964
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Summary : Read online Complexity in Economics Macroeconomics financial markets and international economics written by John Barkley Rosser, published by which was released on 2004. Download full Complexity in Economics Macroeconomics financial markets and international economics Books now! Available in PDF, ePub and Kindle....

Emerging Markets Finance Trade

Emerging Markets Finance   Trade
  • Author : Anonim
  • Publisher : Unknown
  • Release Date : 2003
  • Total pages : 212
  • ISBN : 9780080559964
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Summary : Read online Emerging Markets Finance Trade written by , published by which was released on 2003. Download full Emerging Markets Finance Trade Books now! Available in PDF, ePub and Kindle....

Multifractal Financial Markets

Multifractal Financial Markets
  • Author : Yasmine Hayek Kobeissi
  • Publisher : Springer Science & Business Media
  • Release Date : 2012-07-23
  • Total pages : 128
  • ISBN : 9780080559964
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Summary : Multifractal Financial Markets ‚Äčexplores appropriate models for estimating risk and profiting from market swings, allowing readers to develop enhanced portfolio management skills and strategies. Fractals in finance allow us to understand market instability and persistence. When applied to financial markets, these models produce the requisite amount of data necessary for ...