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  • MULTIFRACTAL VOLATILITY: THEORY, FORECASTING, AND PRICING
    ebook
    MULTIFRACTAL VOLATILITY: THEORY, FORECASTING, AND PRICING
    CALVET, LAURENT E. / FISHER, ADLAI J.
    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 ...

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