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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