Volatility proxies and GARCH models

Authors	M.P. Visser
Supervisors	C.A.J. Klaassen
Cosupervisors	A.A. Balkema R.G. de Vilder
Award date	08-09-2009
ISBN	9789057761959
Number of pages	153
Organisations	Faculty of Science (FNWI) - Korteweg-de Vries Institute for Mathematics (KdVI)
Document type	PhD thesis
Note	Research conducted at: Universiteit van Amsterdam
Language	English
Downloads	Thesis Cover Title pages Contents Acknowledgments Chapter 1: Introduction Chapter 2: Ranking and combining volatility proxies for GARCH and stochastic volatility models Chapter 3: GARCH parameter estimation using high-frequency data Chapter 4: Forecasting S&P 500 daily volatility using a proxy for downward price pressure Chapter 5: Fit of the scaling model Summary Samenvatting Bibliography
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