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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