Modelling realized volatility with box-cox transformations
De Giorgi, Graziana (A.A. 2009/2010) Modelling realized volatility with box-cox transformations. Tesi di Laurea in Processi stocastici e applicazioni alla finanza, LUISS Guido Carli, relatore Roberto Renò, pp. 79. [Master's Degree Thesis]
Full text for this thesis not available from the repository.
Abstract/Index
What is realized volatility. The har-rv model. The box-cox transformations. Empirical analysis of s&p 500 futures realized volatility.
References
Bibliografia: pp. 75-79.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | LUISS Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Economics and Finance (64/S) |
| Chair: | Processi stocastici e applicazioni alla finanza |
| Thesis Supervisor: | Renò, Roberto |
| Thesis Co-Supervisor: | Barone, Emilio |
| Academic Year: | 2009/2010 |
| Session: | Extraordinary |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 26 May 2011 16:12 |
| Last Modified: | 19 May 2015 22:46 |
| URI: | https://tesi.luiss.it/id/eprint/4507 |
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