Search Results for: A Conditional Extreme Value Volatility Estimator Based On High Frequency Returns

This paper introduces a conditional extreme value volatility estimator (EVT) based on high-frequency returns. The relative performance of the extreme value vola

Driven by the rise in computational power, it has become popular to measure integrated variance with high-frequency squared returns. Though the squared return i

This book investigates several competing forecasting models for interest rates, financial returns, and realized volatility, addresses the usefulness of nonlinea

In this dissertation, we present the topic on volatility analysis with combined discrete-time and continuous-time models by employing low-frequency, high-freque

In Volatility and Correlation 2nd edition: The Perfect Hedger and the Fox, Rebonato looks at derivatives pricing from the angle of volatility and correlation. W