Add to ORKGThe problem of estimating the daily variance of risky assets using high frequency data is considered. The advantages and disadvantages of different model specifications is discussed. Several estimators are compared via both simulations and empirical work.1 page(s
textabstractThis dissertation consists of three studies on the use of intraday asset price data for ...
In this dissertation, we take up one focus point in the study of high frequency finance, namely, to ...
In this paper we study various MIDAS models in which the future daily variance is directly related t...
"October 2014".Bibliography: pages 89-97.1. Introduction -- 2. Bootstrapping daily returns -- 3. An ...
Thesis (Ph.D.)--University of Washington, 2012A large literature has emerged in the last 10 years us...
Financial volatility is the core of multiple sectors in finance. This work investigates different as...
Accurate volatility predictions are crucial for the successful implementation of risk management. Th...
Recent contributions to the financial econometrics literature exploit high-frequency (HF) data to im...
This thesis exploits the information contained in high-frequency data to test and model the distribu...
Forecasting volatility models typically rely on either daily or high frequency (HF) data and the cho...
in the prediction of quantiles of daily Standard&Poor’s 500 (S&P 500) returns we consider ho...
Thesis (M.Sc. (Risk Analysis))--North-West University, Potchefstroom Campus, 2006.Financial market v...
Forecasting-volatility models typically rely on either daily or high frequency (HF) data and the cho...
Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and r...
Defence date: 13 June 2003Examining Board: Prof. H. Peter Boswijk, University of Amsterdam ; Prof. S...
textabstractThis dissertation consists of three studies on the use of intraday asset price data for ...
In this dissertation, we take up one focus point in the study of high frequency finance, namely, to ...
In this paper we study various MIDAS models in which the future daily variance is directly related t...
"October 2014".Bibliography: pages 89-97.1. Introduction -- 2. Bootstrapping daily returns -- 3. An ...
Thesis (Ph.D.)--University of Washington, 2012A large literature has emerged in the last 10 years us...
Financial volatility is the core of multiple sectors in finance. This work investigates different as...
Accurate volatility predictions are crucial for the successful implementation of risk management. Th...
Recent contributions to the financial econometrics literature exploit high-frequency (HF) data to im...
This thesis exploits the information contained in high-frequency data to test and model the distribu...
Forecasting volatility models typically rely on either daily or high frequency (HF) data and the cho...
in the prediction of quantiles of daily Standard&Poor’s 500 (S&P 500) returns we consider ho...
Thesis (M.Sc. (Risk Analysis))--North-West University, Potchefstroom Campus, 2006.Financial market v...
Forecasting-volatility models typically rely on either daily or high frequency (HF) data and the cho...
Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and r...
Defence date: 13 June 2003Examining Board: Prof. H. Peter Boswijk, University of Amsterdam ; Prof. S...
textabstractThis dissertation consists of three studies on the use of intraday asset price data for ...
In this dissertation, we take up one focus point in the study of high frequency finance, namely, to ...
In this paper we study various MIDAS models in which the future daily variance is directly related t...