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Filtering by: Creator Dobrislav Dobrev Keyword Generalized Range

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Description:: The present dissertation includes my research on modeling financial market returns and volatility on high frequency data. It consists of three chapters. The first chapter introduces a novel high-frequency volatility estimator based on large price moves, which constitutes a generalization of the standard range. An asymptotic theory is developed in...
Keyword:: Normality Tests, Jump Detection, Generalized Range, Realized Volatility, Jump-Diffusion Processes, and High-Frequency Data
Subject:: Finance
Creator:: Dobrislav Dobrev
Owner:: Scholarly Digital Publishing
Date Uploaded:: 05/28/2018
Date Modified:: 05/28/2018
Date Created:: 2007-05-11
Resource Type:: Dissertation

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