Measuring, Modeling, and Forecasting Volatility and Correlations from High-Frequency Data

Measuring, Modeling, and Forecasting Volatility and Correlations from High-Frequency Data

This dissertation contains four essays that all share a common purpose: developing new methodologies to exploit the potential of high-frequency data for the measurement, modeling and forecasting of financial assets volatility and correlations. The first two chapters provide useful tools for univaria...

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Bibliographic Details
Main Author: Vander Elst, Harry-Paul
Other Authors: Paindaveine, Davy
Format: Doctoral Thesis
Language:en
Published: Universite Libre de Bruxelles 2016
Subjects:
Econométrie et méthodes statistiques :théorie et applications
Financial econometrics
High-frequency data
Volatilities and correlations
Forecasting
Risk management
Time series analysis
Online Access:http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/228960

Internet

http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/228960

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