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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, 1982; Rossi, 1995) models volatility as an average of past shocks, possibly ...more
Hardcover, 258 pages
Published September 16th 2008 by Academic Press
(first published August 15th 2008)
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