Search results

Record: oai:ARNO:312511

1

Author M.P. Visser Title Volatility proxies and GARCH models Promotor C.A.J. Klaassen Co-promotors A.A. Balkema, R.G. de Vilder Date 08-09-2009 Year 2009 Pages ix, 153 ISBN 978-90-5776-195-9 Faculty Faculty of Science Institute/dept. FNWI: Korteweg-de Vries Institute for Mathematics (KdVI) Keywords volatility ; volatility proxy ; GARCH ; high-frequency data Classification - Language English Document type Dissertation Download papers Thesis Cover Title pages Contents Acknowledgments Chapter 1: Introduction Chapter 2: Ranking and combining volatility proxies for GARCH and stochastic volatility models Chapter 3: GARCH parameter estimation using high-frequency data Chapter 4: Forecasting S&P 500 daily volatility using a proxy for downward price pressure Chapter 5: Fit of the scaling model Summary Samenvatting Bibliography Document finder Use this url to link to this page: http://dare.uva.nl/en/record/312511 Contact us about this recordNotify a colleague Add to bookbag

• Disclaimer/Complaints regulations
  If you believe that digital publication of certain material infringes any of your rights or (privacy) interests, please let the University Library know, stating your reasons. In case of a legitimate complaint the University Libary will make the material inaccessible and/or remove it from the website.
  Please send an e-mail to: dare@uva.nl, or a letter to: Bibliotheek van de Universiteit van Amsterdam, Dept. Electronic Services, UvA-DARE, Singel 425, 1012 WP Amsterdam, The Netherlands. You will be contacted as soon as possible.

• UvA-DARE is a service of the Library of the University of Amsterdam and is part of a national and international network of scientific and scholarly information services.