Homepage of Marcel Visser  (M.P. Visser)



 
Research Interests

Events in Mathematical Finance

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Contact		 Marcel P. Visser

  • Ph. D. Student Financial Mathematics,
    •     University of Amsterdam, Korteweg-de Vries Institute for Mathematics
      
        Research subject: volatility
     
  • Researcher at Deep Blue Capital.



    • -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)