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High Frequency Returns and Volatility in Financial Markets: Generalized Range Theory and Conditional Moment Tests of No-Arbitrage Semi-Martingale Restrictions

Description:

The present dissertation includes my research on modeling financial market returns and volatility on high frequency data. It consists of three chapters. The first chapter introduces a novel high-frequency volatility estimator based on large price moves, which constitutes a generalization of the standard range. An asymptotic theory is developed in...

Keyword:

Normality Tests, Jump Detection, Generalized Range, Realized Volatility, Jump-Diffusion Processes, and High-Frequency Data

Subject:

Finance

Creator:

Dobrislav Dobrev

Owner:

Scholarly Digital Publishing

Date Uploaded:

05/28/2018

Date Modified:

05/28/2018

Date Created:

2007-05-11

Resource Type:

Dissertation