1. Introduction -- I. Discrete Time -- 2. Background: Discrete-Time Volatility Modeling -- 3. The Markov-Switching Multifractal (MSM) in Discrete Time -- 4. Multivariate MSM -- II. Continuous Time -- 5. Background: Continuous-Time Volatility Modeling -- 6. Multifractal Diffusions Through Time Deformation and the MMAR -- 7. Continuous-Time MSM -- 8. Power Variation -- III. Equilibrium Pricing -- 9. Multifrequency News and Stock Returns -- 10. Multifrequency Jump-Diffusions -- 11. Conclusion -- A. Appendices
Summary
Forecasting volatility is one of the major challenges in the field of finance. Calvet and Fisher present a powerful, new technique for volatility modelling. Their preliminary work has been well-received in the top academic journals and this is the first time they present their research in a comprehensive way
Analysis
Finance
Notes
Formerly CIP. Uk
Bibliography
Includes bibliographical references (pages [229]-250) and index
