New considerations for modeling financial volatility.
About the intraday volatility modeling, the limitations and potential problems of using Andersen & Bollerslev's approach are addressed and distinct modifications are proposed to tackle the corresponding issues. The first suggestion is about the utilization of the interaction between the int...
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| Format: | Others |
| Language: | English Chinese |
| Published: |
2011
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| Online Access: | http://library.cuhk.edu.hk/record=b6075127 http://repository.lib.cuhk.edu.hk/en/item/cuhk-344760 |