Multifractal volatility : theory, forecasting, and pricing /

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, 198...

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Bibliographic Details

Main Author:	Calvet, Laurent E.
Corporate Author:	ScienceDirect (Online service)
Other Authors:	Fisher, Adlai
Format:	eBook
Language:	English
Published:	Burlington, MA ; London : Academic Press, [2008]
Series:	Academic Press advanced finance series.
Subjects:	Finance > Econometric models. Economic forecasting > Econometric models. Multifractals. Electronic books.
Online Access:	Connect to the full text of this electronic book