FORECASTING MULTIFRACTAL VOLATILITY PDF

As the access to this document is restricted, you may want to look for a different version below or search for a different version of it. Fisher, Stern School of Business-. Laurent Calvet,

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Skip to search form Skip to main content You are currently offline. Some features of the site may not work correctly. DOI: Calvet and A. Calvet , A. Fisher Published Mathematics. This paper develops analytical methods to forecast the distribution of future returns for a new continuous-time process, the Poisson multifractal.

Out model captures the thick tails and volatility persistence exhibited by many financial time series. We assume that the forecaster knows the true generating process with certainty, but only observes past returns.

The challenge in this environment is long memory and the corresponding infinite dimension of the state space. View via Publisher. Save to Library. Create Alert. Launch Research Feed. Share This Paper. Citations Publications citing this paper. Fisher Economics Review of Economics and Statistics On a multi-timescale statistical feedback model for volatility fluctuations Lisa Borland , Jean-Philippe Bouchaud Economics, Mathematics, Physics The Markov switching multi-fractal model of asset returns : estimation and forecasting of dynamic volatility with multinomial specificaitons H.

Lee Economics Bekiros , Bernd Wilfling Mathematics Forecasting volatility under fractality, regime-switching, long memory and student-t innovations Thomas Lux , Leonardo Morales-Arias Computer Science, Mathematics Comput. Data Anal. Related Papers. Abstract Citations Related Papers. By clicking accept or continuing to use the site, you agree to the terms outlined in our Privacy Policy , Terms of Service , and Dataset License.

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Multifractal Volatility

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Forecasting Multifractal Volatility

Skip to search form Skip to main content You are currently offline. Some features of the site may not work correctly. DOI: Calvet and A.

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