Measuring and Modelling the Volatility of Financial Time Series

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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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Bibliographic Details
Main Author:	Luong, Phan Anh Chuong
Format:	Thesis
Published:	Curtin University 2016
Online Access:	http://hdl.handle.net/20.500.11937/48861

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