Multifractal Volatility: Theory, Forecasting, and Pricing
Laurent E. Calvet (Professor, Chair in Finance - Tanaka Business School, Imperial College London, UK),Adlai J. Fisher (Faculty of Commerce, University of British Columbia, Vancouver, Canada)
Multifractal Volatility: Theory, Forecasting, and Pricing
Laurent E. Calvet (Professor, Chair in Finance - Tanaka Business School, Imperial College London, UK),Adlai J. Fisher (Faculty of Commerce, University of British Columbia, Vancouver, Canada)
Contents Preface Cha pter 1 Introduction Chapter 2 Background 2.1 A utoregressive Volatility Modeling 2.2 Multifractals in the Natural Sciences Chapter 3 The Multifractal Volatility Mode l: The MMAR 3.1 The Multifractal Model of Asset Returns 3.2 An Extension with Autocorrelated Returns 3.3 Empirical Evidence 3.4 Discussion Chapter 4 Th e Marko-Switching Multifractal (MSM) in Discrete Time 4.1 M SM Construction in Discrete Time 4.2 Maximum Likelihood Est imation 4.3 Empirical Results 4.4 Comparison w ith Alternative Models 4.5 Discussion Chapter 5. Multivariate MSM 5.1 Comovement of Univariate Volatility Components 5.2 A Bivariate Multifrequency Model 5.3 Inference 5.4 Empirical Results 5.5 Ext ension to Many Assets 5.6 Discussion
Chapter 6 The Marko-Switching Multifractal in Continuous Time 6.1 M
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