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Multifractal Volatility: Theory, Forecasting, and Pricing

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Multifractal Volatility: Theory, Forecasting, and Pricing - Calvet, Laurent E, and Fisher, Adlai J
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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 ...

Multifractal Volatility: Theory, Forecasting, and Pricing 2008, Academic Press, Amsterdam, Netherlands

ISBN-13: 9780121500139

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