Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 22 for “"realized volatility"”.
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Forecasting the South African rand 's variance and covariance using conditional heteroskedastic and realized volatility models
Includes abstract. Includes bibliographical references.
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Essays on Bayesian Macroeconometrics
… Shin, proposes the multivariate stochastic volatility in vector autoregression model as a framework for studying the real effects of uncertainty shocks. We advance a new approach to structurally identify uncertainty shocks that does not rely on identification of the level structural shocks. …
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Essays on Portfolio Optimization, Simulation and Option Pricing
… simulation in option pricing, the application of realized volatility in trading strategies and geometrical analysis of a four asset mean variance portfolio optimization problem. The first paper studies different efficient simulation methods to price options with different characters such as …
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Parametric Estimation of the Heston Model under the Indirect Observability Framework
… but come from some other sources. For instance, realized volatility is often used to approximate the actual volatility process, since the actual volatility cannot be obtained directly. Therefore, inherent differences between the data and the model may naturally lead to the question about the …
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Three essays on investments and time series econometrics
… behavior of implied marginal tax rates, implied volatility, and option pricing models. The first essay examines the movement of implied marginal tax rates. A body of research points to the existence of implied marginal tax rates that can be extracted from security or derivative prices. We use the …
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Forecasting Oil Price Volatility
… compares different methods of forecasting price volatility in the crude oil futures market using daily data for the period November 1986 through March 1997. It compares the forward-looking implied volatility measure with two backward-looking time-series measures based on past returns - a simple …
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Essays on economic value of intraday covariation estimators for risk prediction
… the economic value of incorporating intraday volatility estimators into the volatility forecasting process. The increased reliance on volatility forecasting in the nancial industry has intensied the need for more rigorous analysis from an economic perspective instead of merely statistical …
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Essays on the economic value of intraday covariation estimators for risk prediction
… the economic value of incorporating intraday volatility estimators into the volatility forecasting process. The increased reliance on volatility forecasting in the financial industry has intensified the need for more rigorous analysis from an economic perspective instead of merely statistical …
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Estrategias de trading con Time Series Momentum
… a time-series momentum strategy involves the volatility-adjusted aggregation of univariate strategies and therefore relies heavily on the e ciency of the volatility estimator and on the quality of the momentum trading signal. Using a dataset with intra-day quotes of 18 assets from May 2017 to …
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Essays On Oil Price Volatility And Irreversible Investment
… performance of several models for the volatility of daily spot</p> <p>crude oil prices. Empirical research over the past decades has uncovered</p> <p>significant gains in forecasting performance of Markov Switching GARCH</p> <p>models over GARCH models for the volatility of financial …
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An investigation into the characteristics of equity volatility and its implications for derivative strategies
… the original model. The reality of stochastic volatility contradicts a key assumption of the Black-Scholes model and addressing this has motivated the development of more appropriate volatility models. The improved speci�cation and forecasting of asset price volatility has been influenced by …
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Volatility and return forecasting : time series and options-based methods
… attempts to model and forecast returns and realized volatility using two different methods: time series models that exploit the historical information set and options-based approach that provides a natural forecast of return variation from listed option prices. Both univariate and …
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Cross-Sectional Volatility Index Analysis In Asian Markets With No Derivatives Market.
… has emerged that focuses on the performance of volatility indices in the derivatives market. The VIX has been very popular in the US market. Since its introduction in 1993, the VIX is a barometer of investor sentiment and market volatility. However, the VIX is mostly applied to markets that have …
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Time Series Models for Finance and the Environment
… kind conditional distribution for modelling realized volatility (RV). Given its general formulation, it is capable of effectively capturing the long memory of the RV process with two first-order components, together with a day of the week effect both levels and in logarithms. It is also able …
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Risk in Brazilian Stock and Futures Markets
… markets focusing on two questions: (i) Does volatility in emerging stock markets follow the time patterns observed in more traditional markets? and (ii) Can emerging futures markets in LDC's perform their classic functions of hedge provision and price discovery when operating under suboptimal …
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Modelling financial volatility using Bayesian and conventional methods
This thesis investigates different volatility measures and models, including parametric and non-parametric volatility measurement. Both conventional and Bayesian methods are used to estimate volatility models. Chapter 1: We model and forecast intraday return volatility based on an extended …
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Price jumps and volatility in U.S. agricultural futures markets
… experienced by these markets affect prices and volatility dynamics. In the third essay, I investigate whether more flexible research approaches should be employed to provide market participants and policy markets more accurate volatility forecasts within the context of the new more heterogeneous …
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Point process based high frequency volatility estimation : theory and applications
… common theme: point process based high-frequency volatility estimation. The first chapter introduces a new class of high-frequency volatility estimators and examines its asymptotic properties. The second chapter studies the relative importance of market microstructure (MMS) variables on …
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Essays on financial econometrics : variance and covariance estimation using price durations
… shorter durations are indicative of higher volatility. The duration-based approach provides a new angle to look at the high-frequency data, additionally, the duration based variance and covariance estimators are shown to be more efficient than competing time-domain high-frequency estimators. …
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