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Multifractal volatility : theory, forecasting, and pricing
Başlık:
Multifractal volatility : theory, forecasting, and pricing
Yazar:
Calvet, Laurent E.
ISBN:
9780080559964
9780121500139
Yazar Ek Girişi:
Yayın Bilgileri:
London : Academic, 2008.
Fiziksel Tanımlama:
1 online resource (246 pages) : illustrations.
Seri:
Academic Press advanced finance series
Academic Press advanced finance series.
İçerik:
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.
Özet:
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.
Tür:
Added Author:
Elektronik Erişim:
ScienceDirect http://www.sciencedirect.com/science/book/9780121500139Mevcut:*
Yer Numarası | Demirbaş Numarası | Shelf Location | Lokasyon / Statüsü / İade Tarihi |
---|---|---|---|
HB3730 | 1189992-1001 | Elsevier E-Kitap Koleksiyonu | Arıyor... |
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