Essays on nonparametric econometrics of stochastic volatility

Authors	Y. Zu
Supervisors	H.P. Boswijk
Award date	19-01-2012
ISBN	9789036102728
Number of pages	130
Publisher	Amsterdam: Thela Thesis
Organisations	Faculty of Economics and Business (FEB) - Amsterdam School of Economics Research Institute (ASE-RI)
Abstract	Volatility is a concept that describes the variation of financial returns. Measuring and modelling volatility dynamics is an important aspect of financial econometrics. This thesis is concerned with nonparametric approaches to volatility measurement and volatility model validation.
Document type	PhD thesis
Note	Tinbergen Institute research series no. 521 Research conducted at: Universiteit van Amsterdam
Language	English
Downloads	Thesis Cover Title pages Acknowledgements Contents 1: Introduction 2: Estimating spot volatility in the presence of noise 3: Nonparametric specification tests for stochastic volatility models based on the return distribution 4: Nonparametric specification tests for stochastic volatility models based on the volatility density Bibliography Samenvatting (Summary in Dutch)
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