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This book introduces the Markov Switching Multifractal (MSM) model, a novel approach to modeling asset returns that incorporates multifractal processes and regime-switching dynamics. The MSM model captures the long-memory, volatility clustering, and heavy tails observed in financial time series, offering a more accurate representation of market behavior compared to traditional models like GARCH. Calvet and Fisher provide a unified framework that integrates insights from the natural sciences and mathematics into financial modeling. They demonstrate how to construct high-dimensional regime-switching models that are both easy to estimate and substantially outperform some of the best traditional forecasting models.

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245: $a: Multifractal Volatility : Theory, Forecasting and Pricing
245: $b:
082: $a:
100: $a: Laurent Calvet; Adlai Fisher
650: $a: Economics
250: $a:
440: $v:
250: $b: Academic Press
250: $c: 2008
020: $a: 978-0121500139
300: $a: 272