Measuring volatility and correlation is one of the key problems in financial markets which has been revolutionised by the availability of high-frequency data in recent years. In this thesis we use a continuous-time stochastic volatility model for the asset price process and deduce several asymptotic properties of relevant statistics in the context of volatility and correlation estimation. Furthermore we extend the model for a noise component taking into account market microstructure noise effects.
| Identifer | oai:union.ndltd.org:bl.uk/oai:ethos.bl.uk:490094 |
| Date | January 2008 |
| Creators | Kinnebrock, Silja |
| Publisher | University of Oxford |
| Source Sets | Ethos UK |
| Detected Language | English |
| Type | Electronic Thesis or Dissertation |
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