Measuring and Modelling the Volatility of Financial Time Series
The thesis studies the measures and models of volatility for financial time series. We address the dependency of volatility on sampling frequency and show that this relationship can be explained by using delay equations for the underlying prices. In addition, a new implied volatility process is prop...
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| Format: | Thesis |
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Curtin University
2016
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| Online Access: | http://hdl.handle.net/20.500.11937/48861 |