$Multifractal volatility : theory, forecasting, and pricing /$

Multifractal volatility : theory, forecasting, and pricing /

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Bibliographic Details
Author / Creator:	Calvet, Laurent E.
Imprint:	Amsterdam ; Boston : Academic Press, c2008.
Description:	xiii, 258 p. : ill. ; 24 cm.
Language:	English
Series:	Academic Press advanced finance series Academic Press advanced finance series.
Subject:	Finance -- Econometric models. Economic forecasting -- Econometric models. Multifractals. Economic forecasting -- Econometric models. Finance -- Econometric models. Multifractals.
Format:	Print Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/7412721

Hidden Bibliographic Details
Other authors / contributors:	Fisher, Adlai.
ISBN:	9780121500139 (hbk.) 0121500136 (hbk.)
Notes:	Includes bibliographical references (p. [229]-250) and index.
Summary:	"Laurent Calvet and Adlai Fisher show in this book that a simple class of models efficiently captures seemingly disparate aspects of financial market returns. Inspired by earlier uses of multifractals in the natural sciences, the authors construct multifrequency regime-switching models that are convenient to estimate, provide excellent volatility forecasts and easily integrate into asset pricing applications."--BOOK JACKET.

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Call Number:	HG176.5 .C35 2008
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