Multifractal Volatility

Offers a technique for volatility forecasting that draws on insights from the use of multifractals in the natural sciences and mathematics and provides a treatment of the use of multifractal techniques in finance. This book aims to popularize the approach by presenting these developments to a wider audience.

Autorentext

By Laurent E. Calvet and Adlai J. Fisher

Klappentext

Forecasting volatility is one of the major challenges in the field of finance. Calvet and Fisher present a powerful, new technique for volatility modeling. Drawing on insights from the use of multifractals in the natural sciences and mathematics, they show how to construct regime-switching models that contain multiple durations, are easy to estimate, and outperform some of the best traditional forecasting models such as GARCH. Their preliminary work has been well-received in the top academic journals and this is the first time they present their research in a comprehensive way. The book is suitable for a PhD courses in Economics/ Finance, or a short course for practitioners on volatility modeling.

Inhalt
Preface
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