Trent University Graduate Thesis Collection

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tula:etd
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Collection
Language
eng
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1 item
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Copyright for all items in the Trent University Graduate Thesis Collection is held by the author, with all rights reserved, unless otherwise noted.
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Range-Based Component Models for Conditional Volatility and Dynamic Correlations

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Year: 2017, 2017
Member of: Trent University Graduate Thesis Collection
Name(s): Creator (cre): Swanson, Stephen, Thesis advisor (ths): Cater, Bruce, Thesis advisor (ths): Pollanen, Marco, Degree granting institution (dgg): Trent University
Abstract: <p>Volatility modelling is an important task in the financial markets. This paper first evaluates the range-based DCC-CARR model of Chou et al. (2009) in modelling larger systems of assets, vis-à-vis the traditional return-based DCC-GARCH. Extending Colacito, Engle and Ghysels (2011), range-based volatility specifications are then employed in the first-stage of DCC-MIDAS conditional… more