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Research Interests Events in Mathematical Finance Downloads Contact |
Marcel
P. Visser Research subject: volatility -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 -Garch Parameter Estimation Using High-Frequency Data. MPRA paper. Keywords: volatility estimation; quasi maximum likelihood; volatility proxy; Gaussian QMLE; log-Gaussian QMLE; autoregressive conditional heteroscedasticity Abstract (HTML) Full Text (PDF) -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) |
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