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Applying Localized Realized Volatility Modeling to Futures Indices

This thesis extends the application of the localized realized volatility model created by Ying Chen, Wolfgang Karl Härdle, and Uta Pigorsch to other futures markets, particularly the CAC 40 and the NI 225. The research attempted to replicate results though ultimately, those results were invalidated by procedural difficulties.

Identiferoai:union.ndltd.org:CLAREMONT/oai:scholarship.claremont.edu:cmc_theses-1214
Date01 January 2011
CreatorsFu, Luella
PublisherScholarship @ Claremont
Source SetsClaremont Colleges
Detected LanguageEnglish
Typetext
Formatapplication/pdf
SourceCMC Senior Theses
Rights© 2011 Luella Fu,

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