語系:
繁體中文
English
說明(常見問題)
登入
回首頁
(回前一個查詢頁籤)
[ subject:"Multifractals." ]
切換:
標籤
|
MARC模式
|
ISBD
Multifractal volatility = theory, fo...
~
Calvet, Laurent E.
Multifractal volatility = theory, forecasting, and pricing /
紀錄類型:
書目-語言資料,印刷品 : 單行本
正題名/作者:
Multifractal volatility/ by Laurent E. Calvet, Adlai J. Fisher.
其他題名:
theory, forecasting, and pricing /
作者:
Calvet, Laurent E.
其他作者:
Fisher, Adlai.
出版者:
Burlington, MA ;Academic Press, : c2008.,
面頁冊數:
xiii, 258 p. :ill. ; : 24 cm.;
叢書名:
Academic Press advanced finance series
標題:
Finance - Econometric models. -
電子資源:
An electronic book accessible through the World Wide Web; click for information
ISBN:
9780121500139
Multifractal volatility = theory, forecasting, and pricing /
Calvet, Laurent E.
Multifractal volatility
theory, forecasting, and pricing /[electronic resource] :by Laurent E. Calvet, Adlai J. Fisher. - Burlington, MA ;Academic Press,c2008. - xiii, 258 p. :ill. ;24 cm. - Academic Press advanced finance series.
Includes bibliographical references (p. [229]-250) and index.
Preface -- Introduction -- Background -- The Multifractal Volatility Model: The MMAR -- The Marko-Switching Multifractal (MSM) in Discrete Time -- Multivariate MSM -- The Marko-Switching Multifractal in Continuous Time -- Multifrequency News and Stock Returns -- Multifrequency Jump Diffusions -- Conclusion -- Appendices.
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 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, they permit regimes to have varying degrees of persistence. By drawing on insights from the use of multifractals in the natural sciences and mathematics, they show how to construct high-dimensional regime-switching models that are easy to estimate, and substantially outperform some of the best traditional forecasting models such as GARCH. The goal of their book is to popularize the approach by presenting these exciting new developments to a wider audience. They emphasize both theoretical and empirical applications, beginning with a style that is easily accessible and intuitive in early chapters, and extending to the most rigorous continuous-time and equilibrium pricing formulations in final chapters. Presents a powerful new technique for forecasting volatility Leads the reader intuitively from existing volatility techniques to the frontier of research in this field by top scholars at major universities. The first comprehensive book on multifractal techniques in finance, a cutting-edge field of research.
Electronic reproduction.
Amsterdam :
Elsevier Science & Technology,
2008.
Mode of access: World Wide Web.
ISBN: 9780121500139
Source: 103962:103983Elsevier Science & Technologyhttp://www.sciencedirect.comSubjects--Topical Terms:
542335
Finance
--Econometric models.Index Terms--Genre/Form:
498447
Electronic books.
LC Class. No.: HB141 / .C35 2008eb
Dewey Class. No.: 332.01514742
Multifractal volatility = theory, forecasting, and pricing /
LDR
:03488cam 2200313Ia 4500
001
407394
005
20130114152533
006
m d
007
cr cn|||||||||
008
081212s2008 maua sb 001 0 eng d
020
$a
9780121500139
020
$a
0121500136
035
$a
(OCoLC)281598607
035
$a
22772
037
$a
103962:103983
$b
Elsevier Science & Technology
$n
http://www.sciencedirect.com
040
$a
OPELS
$b
eng
$c
OPELS
$d
OPELS
049
$a
TEFA
050
1 4
$a
HB141
$b
.C35 2008eb
082
0 4
$a
332.01514742
100
1
$a
Calvet, Laurent E.
$3
542333
245
1 0
$a
Multifractal volatility
$h
[electronic resource] :
$b
theory, forecasting, and pricing /
$c
by Laurent E. Calvet, Adlai J. Fisher.
260
$a
Burlington, MA ;
$a
London :
$b
Academic Press,
$c
c2008.
300
$a
xiii, 258 p. :
$b
ill. ;
$c
24 cm.
440
0
$a
Academic Press advanced finance series
504
$a
Includes bibliographical references (p. [229]-250) and index.
505
0
$a
Preface -- Introduction -- Background -- The Multifractal Volatility Model: The MMAR -- The Marko-Switching Multifractal (MSM) in Discrete Time -- Multivariate MSM -- The Marko-Switching Multifractal in Continuous Time -- Multifrequency News and Stock Returns -- Multifrequency Jump Diffusions -- Conclusion -- Appendices.
520
$a
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 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, they permit regimes to have varying degrees of persistence. By drawing on insights from the use of multifractals in the natural sciences and mathematics, they show how to construct high-dimensional regime-switching models that are easy to estimate, and substantially outperform some of the best traditional forecasting models such as GARCH. The goal of their book is to popularize the approach by presenting these exciting new developments to a wider audience. They emphasize both theoretical and empirical applications, beginning with a style that is easily accessible and intuitive in early chapters, and extending to the most rigorous continuous-time and equilibrium pricing formulations in final chapters. Presents a powerful new technique for forecasting volatility Leads the reader intuitively from existing volatility techniques to the frontier of research in this field by top scholars at major universities. The first comprehensive book on multifractal techniques in finance, a cutting-edge field of research.
533
$a
Electronic reproduction.
$b
Amsterdam :
$c
Elsevier Science & Technology,
$d
2008.
$n
Mode of access: World Wide Web.
$n
System requirements: Web browser.
$n
Title from title screen (viewed on Dec. 9, 2008).
$n
Access may be restricted to users at subscribing institutions.
650
0
$a
Finance
$x
Econometric models.
$3
542335
650
0
$a
Economic forecasting
$x
Econometric models.
$3
542336
650
0
$a
Multifractals.
$3
542337
655
7
$a
Electronic books.
$3
498447
700
1
$a
Fisher, Adlai.
$3
542334
710
2
$a
ScienceDirect (Online service)
$3
541177
776
1
$c
Original
$z
9780121500139
$z
0121500136
$w
(OCoLC)213839313
856
4 0
$u
http://www.sciencedirect.com/science/book/9780121500139
$z
An electronic book accessible through the World Wide Web; click for information
994
$a
C0
$b
TEF
筆 0 讀者評論
多媒體
評論
新增評論
分享你的心得
Export
取書館別
處理中
...
修改密碼
登入