Three Essays on Stock Market Volatility
Volatility is inherently unobservable, and thus the selection of models and their definition is crucial in financial research. This dissertation attempts to check the role of investor sentiment and forecast Value-at-Risk (VaR) of the stock market using both parametric and nonparametric approaches. I...
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DigitalCommons@USU
2008
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| Online Access: | https://digitalcommons.usu.edu/etd/308 https://digitalcommons.usu.edu/cgi/viewcontent.cgi?article=1307&context=etd |