Homepage of dr. Marcel Visser  (M.P. Visser)




 
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Events in Mathematical Finance


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dr. Marcel P. Visser

  • Researcher at Deep Blue Capital
  • Guest Financial Mathematics,
  •     University of Amsterdam, Korteweg-de Vries Institute for Mathematics
      
        Research subject: volatility
     
        Thesis cover -- Volatility Proxies and GARCH Models
     -Volatility Proxies and GARCH models: dissertation University of Amsterdam, 2009. Develops an approach for incorporating intraday high-frequency data into discrete time GARCH models. You may want to access the Summary (2 pages), the Introduction (24 pages), or the Full Text.
     

    Papers:

    -GARCH Parameter Estimation Using High-Frequency Data. -- Journal of Financial Econometrics (2011)
       Keywords: volatility estimation; quasi maximum likelihood; volatility proxy; Gaussian QMLE; log-Gaussian QMLE; autoregressive conditional heteroscedasticity
       MPRA Working Paper Version: Abstract (HTML)  Full Text (PDF)


    -Ranking and Combining Volatility Proxies for GARCH and Stochastic Volatility Models (with R. de Vilder). MPRA paper.
      Keywords:
    volatility proxy; realized volatility; quadratic variation; scale factor; arch/garch/stochastic volatility; intraday seasonality
     
    Abstract (HTML)  Full Text (PDF)
      Slides Winterschool Lunteren 2008

    -Forecasting S&P 500 Daily Volatility Using a Proxy for Downward Price Pressure. MPRA paper.
       Keywords: volatility proxy; downward absolute power variation; log-Garch; volatility asymmetry; leverage effect; SP500; volatility forecasting; high-frequency data.
       Abstract (HTML)  Full Text (PDF)