Modelling and forecasting stock return volatility and the term structure of interest rates

Modelling and forecasting stock return volatility and the term structure of interest rates
Author :
Publisher : Rozenberg Publishers
Total Pages : 286
Release :
ISBN-10 : 9789051709155
ISBN-13 : 9051709153
Rating : 4/5 (153 Downloads)

Book Synopsis Modelling and forecasting stock return volatility and the term structure of interest rates by : Michiel de Pooter

Download or read book Modelling and forecasting stock return volatility and the term structure of interest rates written by Michiel de Pooter and published by Rozenberg Publishers. This book was released on 2007 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of a collection of studies on two areas in quantitative finance: asset return volatility and the term structure of interest rates. The first part of this dissertation offers contributions to the literature on how to test for sudden changes in unconditional volatility, on modelling realized volatility and on the choice of optimal sampling frequencies for intraday returns. The emphasis in the second part of this dissertation is on the term structure of interest rates.


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