FORECASTING MULTIFRACTAL VOLATILITY PDF

This paper develops analytical methods to forecast the distribution of future returns for a new continuous-time process, the Poisson multifractal. The process . of Technology. Chapter 7: Thoroughly revised version from Journal of Econometrics,. , L. E. Calvet and A. J. Fisher. ‘Forecasting Multifractal Volatility,’ pp. 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.

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We assume for simplicity that the forecaster knows the true generating process with certainty but only observes past returns. Other versions of this item: Corrections All vloatility on this site has been provided by the respective publishers and authors.

The challenge in this environment is long memory and the corresponding infinite dimension of the state space. Forecasting Long mulrifractal Multiple frequencies Stochastic volatility Weak convergence. Full text for ScienceDirect subscribers only 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.

The process captures the thick tails, volatility persistence and moment scaling exhibited by many financial time series. If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. When requesting a correction, please mention this item’s handle: Help us Corrections Found an error or omission?

The challenge in this environment is long memory and the corresponding infinite dimension of the state space. For technical questions regarding multifraactal item, or to correct its authors, title, abstract, bibliographic or download information, contact: Paper This paper develops analytical methods to forecast the distribution multifrxctal future returns for a new continuous-time froecasting, the Poisson multi-fractal.

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You can help correct errors and omissions. This allows to link your profile to this item. RePEc uses bibliographic data supplied by the respective publishers. As the grid size goes to infinity, the discretized model weakly converges to the continuous-time process, implying the consistsency of the density forecasts. If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form.

Download full text from publisher File URL: Calvet Adlai Julian Fisher.

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Laurent-Emmanuel Calvet 1 AuthorId: Calvet, Laurent Fisher, Adlai. General contact details of provider: It can be interpreted as a stochastic volatility model fordcasting multiple frequencies and a Markov latent state. We assume for simplicity that the forecaster knows the true generating process with certainty but only observes past returns. As the grid step size goes to zero, the discretized model weakly converges to the continuous-time process, implying the consistency of the density forecasts.

Forecasting multifractal volatility

We introduce a discretized volaility of the model that has a finite state space and an analytical solution to the conditioning problem. Please note that corrections may take a couple of weeks to filter through the various RePEc services. Laurent-Emmanuel Calvet 1 Adlai J. Have you forgotten your login?

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If you are a registered author of this item, you may also want to check the “citations” tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation. Monday, December 17, – 4: Friday, April 30, – 2: It can be interpreted as a stochastic volatility model with multiple frequencies and a Markov latent state. The process captures the thick tails, volatility persistence, and moment scaling exhibited by many financial time series.

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We introduce a discretized version of the model that has a finite state space and allows for an analytical solution to the conditioning problem. Stern School of Business. See general information about how to correct material in RePEc.

This paper develops analytical methods to forecast the distribution of future returns for a new continuous-time process, the Poisson multifractal. 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.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. Full references including those not matched with items on IDEAS More about this item Statistics Access and download statistics Corrections All material on this site has been provided by the ofrecasting publishers and authors.