Stochastic volatility model and volatility forecasting

Rizzelli, Giovanni (A.A. 2023/2024) Stochastic volatility model and volatility forecasting. Tesi di Laurea in Econometric theory, Luiss Guido Carli, relatore Paolo Santucci de Magistris, pp. 43. [Master's Degree Thesis]

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Abstract/Index

Literature review. Stochastic volatility model. Description of the model. Properties of the model. SV in state space form. Estimation methodologies. Kalman filter and QMLE. GMM. Indirect inference. Tests. Monte Carlo and empirical analysis. Monte Carlo setting and results. Forecast analysis and tests.

References

Bibliografia: pp. 39-41.

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: Econometric theory
Thesis Supervisor: Santucci de Magistris, Paolo
Thesis Co-Supervisor: Antonelli, Fabio
Academic Year: 2023/2024
Session: Summer
Deposited by: Alessandro Perfetti
Date Deposited: 09 Jan 2025 16:08
Last Modified: 09 Jan 2025 16:08
URI: https://tesi.luiss.it/id/eprint/40883

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