Browsing by Subject "Volatility"
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A comparison of the forecasting performances of multivariate volatility models
(2013)The consistent ranking of multivariate volatility models by means of statistical loss function is a challenging research field, because it concerns the quality of the proxy chosen to replace the unobserved volatility, ... -
Essays on the modelling and prediction of financial volatility and trading volumes
(Universita degli studi di Salerno, 2017-06-12)Aim of this thesis is to propose and discuss novel model specifications for predicting financial volatility and trading volumes using intra-daily information. Chapter 1 provides a literature overview on modelling financial ...