Long-term Correlations and Rare Events in Futures Volatility
This dissertation analyse the statistics of rare events in the futures market. We focus on the futures absolute return volatilities that are long-term correlated and show the e�ect of long-term memory on the return intervals of extreme events. The heuristic study has been investigated by some eco...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2015
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| Online Access: | https://eprints.nottingham.ac.uk/30127/ |