Stochastic volatility of short term in terest rates: an analysis of the Italian market
Sacripante, Fabrizio Marco (A.A. 2015/2016) Stochastic volatility of short term in terest rates: an analysis of the Italian market. Tesi di Laurea in Theory of finance, LUISS Guido Carli, relatore Nicola Borri, pp. 101. [Master's Degree Thesis]
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Abstract/Index
Modelling stochastic volatility. Estimating stochastic volatility. Parametric volatility models. Efficient method of moments estimation. Stochastic volatility models. Empirical results of the (G)ARCH models. Empiricial results of the SV models.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | LUISS Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56) |
| Chair: | Theory of finance |
| Thesis Supervisor: | Borri, Nicola |
| Thesis Co-Supervisor: | Nucera, Federico Calogero |
| Academic Year: | 2015/2016 |
| Session: | Extraordinary |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 01 Jun 2017 09:42 |
| Last Modified: | 01 Jun 2017 09:42 |
| URI: | https://tesi.luiss.it/id/eprint/18799 |
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