Essays in empirical finance
This thesis consists of three papers in the area of empirical finance. Chapter 2 investigates the role of realized jumps detected from high frequency data in predicting future volatility from both statistical and economic perspectives. We show that separating jumps from diffusion improves volatility...
| Main Author: | |
|---|---|
| Published: |
University of Warwick
2016
|
| Subjects: | |
| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.682991 |