High frequency and large dimension volatility
Three main issues are explored in this thesis—volatility measurement, volatility spillover and large-dimension covariance matrices. For the first question of volatility measurement, this thesis compares two newly-proposed, high-frequency volatility measurement models, namely realized volatility and...
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University of Exeter
2010
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.529341 |