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.
| Identifer | oai:union.ndltd.org:CLAREMONT/oai:scholarship.claremont.edu:cmc_theses-1214 |
| Date | 01 January 2011 |
| Creators | Fu, Luella |
| Publisher | Scholarship @ Claremont |
| Source Sets | Claremont Colleges |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | CMC Senior Theses |
| Rights | © 2011 Luella Fu, |
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