Forecasting Multifractal Volatility

@article{Calvet1999ForecastingMV,
  title={Forecasting Multifractal Volatility},
  author={Laurent E. Calvet and Adlai J. Fisher},
  journal={Econometrics: Applied Econometrics \& Modeling eJournal},
  year={1999}
}
Component-wise Representations of Long-memory Models and Volatility Prediction
Extracting and forecasting the volatility of financial markets is an important empirical problem. The article provides a time series characterization of the volatility components arising when the
Exponential Smoothing , Long Memory and Volatility Prediction Tommaso Proietti
Extracting and forecasting the volatility of financial markets is an important empirical problem. The paper provides a time series characterization of the volatility components arising when the
On a multi-timescale statistical feedback model for volatility fluctuations
We study, both analytically and numerically, an ARCH-like, multiscale model of volatility, which assumes that the volatility is governed by the observed past price changes on different time scales.
Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data
Abstract We analyze Australian electricity price returns and find that they exhibit volatility clustering, long memory, structural breaks, and multifractality. Consequently, we let the return mean
Option Pricing with Markov Switching Stochastic Volatility Models
  • Yiying Cheng
  • Mathematics, Economics
    Advances in Pacific Basin Business, Economics and Finance
  • 2020
TLDR
A closed-form option pricing formula and the corresponding hedging strategy for a broad class of MSSV models are developed and it is established that these models perform well in one-day-ahead forecasts of option prices.
Flexible and Robust Modelling of Volatility Comovements: A Comparison of Two Multifractal Models
Long memory (long-term dependence) of volatility counts as one of the ubiquitous stylized facts of financial data. Inspired by the long memory property, multifractal processes have recently been
A Markov-switching multifractal approach to forecasting realized volatility
The volatility specification of the Markov-switching Multifractal (MSM) model is proposed as an alternative mechanism for realized volatility (RV). We estimate the RV-MSM model via Generalized Method
...
...

References

SHOWING 1-10 OF 15 REFERENCES
The Distribution of Realized Exchange Rate Volatility
Using high-frequency data on deutschemark and yen returns against the dollar, we construct model-free estimates of daily exchange rate volatility and correlation that cover an entire decade. Our
A Multifractal Model of Asset Returns
This paper presents the multifractal model of asset returns ("MMAR"), based upon the pioneering research into multifractal measures by Mandelbrot (1972, 1974). The multifractal model incorporates two
A long memory property of stock market returns and a new model
A "long memory" property of stock market returns is investigated in this paper. It is found that not only there is substantially more correlation between absolute returns than returns themselves, but
Evaluating Density Forecasts with Applications to Financial Risk Management
Density forecasting is increasingly more important and commonplace, for example in financial risk management, yet little attention has been given to the evaluation of density forecasts. The authors
Modelling Financial Time Series
This book contains several innovative models for the prices of financial assets. First published in 1986, it is a classic text in the area of financial econometrics. It presents ARCH and stochastic
Mandelbrot on price variation
There has been a tradition among economists which holds that prices in speculative markets, such as grain and securities markets, behave very much like random walks. References include Bachelier
On rational belief equilibria
SummaryWe study equilibria in which agent's belief are rational in the sense of Kurz [1994]. The market is formulated by specifying a stochastic demand function and a continuum of producers, each
Prices in Financial Markets
This textbook on financial markets has two purposes: one is to introduce students to the latest theory of financial markets, and the other is to explain the advanced mathematics that is the language
...
...