Modeling and forecasting stock return volatility and the term structure of interest rates = Modelleren en voorspellen van de volatiliteit van aandelenrendementen en de rentetermijnstructuur (Book, 2007) [WorldCat.org]
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Modeling and forecasting stock return volatility and the term structure of interest rates = Modelleren en voorspellen van de volatiliteit van aandelenrendementen en de rentetermijnstructuur

Author: Michiel de Pooter
Publisher: [Amsterdam] : Thela Thesis, 2007.
Dissertation: Diss. University Rotterdam, 2007.
Series: Tinbergen Institute research series, no. 414
Edition/Format:   Thesis/dissertation : Thesis/dissertation : English : Michiel David de PooterView all editions and formats
Summary:
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  Read more...
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Genre/Form: Hochschulschrift
Material Type: Thesis/dissertation, Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Michiel de Pooter
ISBN: 9789051709155 9051709153
OCLC Number: 970668347
Notes: Mit niederländischer Zusammenfassung.
Description: 268 Seiten : Illustrationen.
Series Title: Tinbergen Institute research series, no. 414
Responsibility: door.

Abstract:

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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