A journey in realized variance: modeling, forecasting and variance risk premium
Nopor, Fabio (A.A. 2019/2020) A journey in realized variance: modeling, forecasting and variance risk premium. Tesi di Laurea in Empirical finance, Luiss Guido Carli, relatore Paolo Santucci de Magistris, pp. 83. [Master's Degree Thesis]
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Abstract/Index
Measuring volatility. Logarithmic price process and quadratic variation. Realized variance. Jumps. Models and forecast evaluation. Forecasting models. Forecast evaluation. In-sample and out-of-sample analysis. S&P 500 index. iShares China large-cap ETF. Apple Inc. Variance risk premium. Return predictability–full period. Return predictability–excluding Covid-19 pandemic crisis.
References
Bibliografia: pp. 74-79.
| 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) |
| Outstanding Thesis: | Department of Economics and Finance |
| Chair: | Empirical finance |
| Thesis Supervisor: | Santucci de Magistris, Paolo |
| Thesis Co-Supervisor: | Proietti, Tommaso |
| Academic Year: | 2019/2020 |
| Session: | Extraordinary |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 01 Jul 2021 10:34 |
| Last Modified: | 14 Jul 2021 09:29 |
| URI: | https://tesi.luiss.it/id/eprint/29939 |
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