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Multifractal Volatility - Theory, Forecasting, and Pricing (Hardcover)
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Multifractal Volatility - Theory, Forecasting, and Pricing (Hardcover)
Series: Academic Press Advanced Finance
Expected to ship within 12 - 19 working days
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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"
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