Non parametric estimation of high-frequency volatility and correlation dynamics
This thesis addresses the problem of quantitatively evaluating the temporal dynamics that characterized financial time series. In particular, we perform an accurate analysis of the Fourier estimator, a newly proposed nonparametric methodology to measure ex-post volatility and cross-volatilities as f...
| Main Author: | |
|---|---|
| Published: |
City University London
2010
|
| Subjects: | |
| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.529784 |