Chan Wing-Man. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2003. / Includes bibliographical references (leaves 43-45). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Estimation of Volatility --- p.5 / Chapter 2.1 --- A revisit to the RiskMetrics --- p.6 / Chapter 2.2 --- Predicting Multiple-period of Volatilities --- p.7 / Chapter 2.3 --- Performance Measures --- p.11 / Chapter 2.4 --- Nonparametric Estimation of Quantiles --- p.13 / Chapter 3 --- Univariate Prediction --- p.15 / Chapter 3.1 --- Piecewise Constant Technique --- p.16 / Chapter 3.2 --- Piecewise Linear Technique --- p.22 / Chapter 4 --- Bivariate Prediction --- p.27 / Chapter 4.1 --- Model Selection --- p.28 / Chapter 4.2 --- Piecewise Linear with Discontinuity --- p.29 / Chapter 4.3 --- Piecewise Linear Technique --- p.35 / Chapter 5 --- Conclusions --- p.41 / Bibliography --- p.43
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_324341 |
| Date | January 2003 |
| Contributors | Chan, Wing-Man., Chinese University of Hong Kong Graduate School. Division of Statistics. |
| Source Sets | The Chinese University of Hong Kong |
| Language | English, Chinese |
| Detected Language | English |
| Type | Text, bibliography |
| Format | print, vi, 45 leaves : ill. ; 30 cm. |
| Rights | Use of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/) |
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