Open Access Senior Thesis
Bachelor of Arts
© 2011 Luella Fu,
This thesis extends the application of the localized realized volatility model created by Ying Chen, Wolfgang Karl Härdle, and Uta Pigorsch to other futures markets, particularly the CAC 40 and the NI 225. The research attempted to replicate results though ultimately, those results were invalidated by procedural difficulties.
Fu, Luella, "Applying Localized Realized Volatility Modeling to Futures Indices" (2011). CMC Senior Theses. Paper 216.