Roughly speaking, on the empirical texture of volatility
Pisano, Simone (A.A. 2024/2025) Roughly speaking, on the empirical texture of volatility. Tesi di Laurea in Empirical finance, Luiss Guido Carli, relatore Paolo Santucci de Magistris, pp. 43. [Master's Degree Thesis]
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Abstract/Index
Stylized facts of volatility. Volatility clustering. Leverage effect and asymmetry. Persistence and memory. Vol-of-vol and microstructure effects. Roughness. Scaling laws and universality. On memory and mean reversion. Modeling volatility. GARCH model. HAR-RV model. RFSV model. Empirical analysis. Data. Parameter estimates.
References
Bibliografia: pp. 42-43.
| 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: | Empirical finance |
| Thesis Supervisor: | Santucci de Magistris, Paolo |
| Thesis Co-Supervisor: | Morelli, Giacomo |
| Academic Year: | 2024/2025 |
| Session: | Autumn |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 31 Mar 2026 09:07 |
| Last Modified: | 31 Mar 2026 09:07 |
| URI: | https://tesi.luiss.it/id/eprint/45327 |
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