Long-term Correlations and Rare Events in Futures Volatility

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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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Bibliographic Details
Main Author:	Gong, Bosichan
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2015
Online Access:	https://eprints.nottingham.ac.uk/30127/

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