Volatility in the futures markets for financial and physical commodity assets: The impact of high frequency data on the distributional properties and forecasting of volatility, direction -of -change probability forecasting and asymmetric volatility effects
This dissertation examines the impact of high frequency data in volatility measurement on the distributional properties and predictability of futures market volatility, direction-of-change probability forecasting using the dynamics of volatility and the presence of asymmetric volatility effects. Cha...
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| Language: | ENG |
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ScholarWorks@UMass Amherst
2007
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| Online Access: | https://scholarworks.umass.edu/dissertations/AAI3254896 |