<P>volatility is unobservable butpredictable. it means risk in financial market. 金融市场里的波动性一直是资产定价、资产组合和风险管理的中心话题。正如T.G. Andersen, T. Bollerslev等人所言：“financial market voaltility is central to the theroy and practice ofasset pricing, asset allocation, and risk management.”</P>
<P>我把我写学位论文时读的一些参考论文贴于此，希望感兴趣的同学可以分享，很有意思的：〉具体内容就不多介绍了，看吧：〉</P>
<P>基础知识预备：先读读J. Hull 的“options, futures and other derivatives”有关章节，以及金融数学的相关知识，如：随机过程...</P>
<P><br>Intra-daily information of range-based volatility for MEM-GARCH</P>
<P>Volatility Distribution in the S&amp;P500 Stock Index</P>
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<P>Intra-Day Features of Realized Volatility Evidence from an Emerging Market</P>
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<P>estimate variances from high, low and closing prices<br></P>
<P>Processes of normal inverse Gaussian type</P>
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[此贴子已经被作者于2007-9-2 21:07:56编辑过]