FORECASTING MULTIFRACTAL VOLATILITY PDF

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Help us Corrections Found an error or omission? Forecasting multifractal volatility General contact details of provider: It also allows you to accept potential citations to this item that we are uncertain about. Monday, December 17, — 4: 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.

We assume for simplicity that the forecaster knows the true generating process with certainty but only observes past returns. We introduce a discretized version of the model that has a finite state space and an analytical solution to the conditioning problem.

Laurent-Emmanuel Calvet 1 Adlai J. We introduce a discretized version of the model that has a finite state space and allows for an analytical solution to the conditioning problem.

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. You can help correct errors and omissions. Paper This paper develops analytical methods to forecast the distribution of future returns for a new continuous-time process, the Poisson multi-fractal.

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. Stern School of Business. The process captures the thick tails, volatility persistence, and moment scaling exhibited by many financial time series. Other versions of this item: Forecasting Long memory Multiple frequencies Stochastic volatility Weak convergence. Have you forgotten your login? Download full text from publisher File URL: This abstract was borrowed from another version of this item.

Calvet Adlai Julian Fisher. If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. The challenge in this environment is long memory and the corresponding infinite dimension of the state space. Forecasting multifractal volatility Full text for ScienceDirect subscribers only Vklatility 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.

It can be interpreted as a stochastic volatility model with multiple frequencies and a Markov latent state. Corrections All material on this site has been provided by the respective publishers and authors. This allows to volatjlity your profile to this item. Archive ouverte HAL — Forecasting multifractal volatility It can be interpreted as a stochastic volatility model with multiple frequencies and a Markov latent state.

Friday, April 30, — 2: As the grid size goes to infinity, the discretized model weakly converges to the continuous-time process, implying the consistsency of the density forecasts.

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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 vilatility publishers and authors. Calvet, Laurent Fisher, Adlai. Related Articles

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Forecasting multifractal volatility

Help us Corrections Found an error or omission? Forecasting multifractal volatility General contact details of provider: It also allows you to accept potential citations to this item that we are uncertain about. Monday, December 17, — 4: 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. We assume for simplicity that the forecaster knows the true generating process with certainty but only observes past returns. We introduce a discretized version of the model that has a finite state space and an analytical solution to the conditioning problem. Laurent-Emmanuel Calvet 1 Adlai J. We introduce a discretized version of the model that has a finite state space and allows for an analytical solution to the conditioning problem.

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FORECASTING MULTIFRACTAL VOLATILITY PDF

Dacorogna, Michael M. Full references including those not matched with items on IDEAS More about this item Access and download statistics Corrections All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. See general information about how to correct material in RePEc. For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Dana Niculescu.

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Forecasting Multifractal Volatility

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