Modelling And Forecasting Stock Return Volatility And The Term Structure Of Interest Rates
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Modelling and forecasting stock return volatility and the term structure of interest rates
Author | : Michiel de Pooter |
Publisher | : Rozenberg Publishers |
Total Pages | : 286 |
Release | : 2007 |
Genre | : |
ISBN | : 9051709153 |
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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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