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Multifractal volatility [electronic resource] : theory, forecasting, and pricing / by Laurent E. Calvet, Adlai J. Fisher.

By: Contributor(s): Series: Academic Press advanced finance seriesPublication details: Burlington, MA ; London : Academic Press, c2008.Description: xiii, 258 p. : ill. ; 24 cmISBN:
  • 9780121500139
  • 0121500136
Subject(s): Genre/Form: Additional physical formats: No titleDDC classification:
  • 332.01514742 22
LOC classification:
  • HB141 .C35 2008eb
Online resources:
Contents:
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.
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Main Collection Taylor's Library - Perpetual(TU) 332.01514742 (Browse shelf(Opens below)) e-book TBSxx,44001,03,CL,PPT

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.

Electronic reproduction. Amsterdam : Elsevier Science & Technology, 2008. Mode of access: World Wide Web. System requirements: Web browser. Title from title screen (viewed on Dec. 9, 2008). Access may be restricted to users at subscribing institutions.