Taylor's Library

Normal view MARC view ISBD view

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

By: Calvet, Laurent E.
Contributor(s): Fisher, Adlai | ScienceDirect (Online service).
Series: Academic Press advanced finance series: Publisher: Burlington, MA ; London : Academic Press, c2008Description: xiii, 258 p. : ill. ; 24 cm.ISBN: 9780121500139; 0121500136.Subject(s): Finance -- Econometric models | Economic forecasting -- Econometric models | MultifractalsGenre/Form: Electronic books.Additional physical formats: No titleDDC classification: 332.01514742 Online resources: An electronic book accessible through the World Wide Web; click for information
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.
Item type Current location Call number Status Notes Date due Barcode
Main Collection Taylor's Library - Perpetual(TU)
332.01514742 (Browse shelf) 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.