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关于波动性volatility的一系列论文：〉48篇  关闭 [推广有奖]

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anran841025 发表于 2007-9-1 06:07:00 |AI写论文

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volatility is unobservable but predictable. 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 of asset pricing, asset allocation, and risk management.”

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：〉

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...

149997.pdf (113.45 KB)


Intra-daily information of range-based volatility for MEM-GARCH

149998.pdf (162.06 KB)

Volatility Distribution in the S&P500 Stock Index


149999.pdf (171.54 KB)

Intra-Day Features of Realized Volatility Evidence from an Emerging Market


150000.pdf (217.48 KB)

estimate variances from high, low and closing prices

150001.pdf (248.69 KB)

Processes of normal inverse Gaussian type


[此贴子已经被作者于2007-9-2 21:07:56编辑过]

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关键词：Volatility 系列论文 Vol LAT ATI 论文 Volatility 波动性

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