Multifractal Volatility Theory, Forecasting, and Pricing Calvet Fisher Hardback
Multifractal VolatilityTheory, Forecasting, and Pricing\nAuthor(s): Laurent E. Calvet, Adlai J. Fisher\nFormat: Hardback\nPublisher: Elsevier Science Publishing Co Inc, United States\nImprint: Academic Press Inc\nISBN-13: 9780121500139, 978-0121500139\nSynopsis\nCalvet 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 ([url] 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, t.
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