Multifractal Volatility: Theory, Forecasting, and Pricing

By Laurent E. Calvet, Adlai J. Fisher. 2008

160 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/16326dc62262f68f7e1d0cad4bbcbba38479e707

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

1. J. Beeler
2. Laurent E. Calvet
3. John Y. Campbell
4. Veronika Czellar
5. Thomas Lux
6. Ralph S. J. Koijen
7. Ravi Bansal
8. Tim Bollerslev

Citations in the corpus

• The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment (2012, methodology): “A more recent calibration of the model by Bansal, Kiku, and Yaron (henceforth BKY, 2011) greatly increases the importance of changing volatility by increasing its persistence, somewhat in the spirit of Calvet and Fisher (2007, 2008).”
• Thermodynamics (2021, unknown): “(1)) at infinite temperature, one needs to compute the expectation value with respect to every vector of an orthonormal set The idea is now that instead of working with a full orthonormal set we can also sample the trace using random states.”
• Accurate Methods for Approximate Bayesian Computation Filtering (2015, methodology): “We now apply our methodology to the multifractal equilibrium model of equity returns developed in Calvet & Fisher (2007, 2008).”