Thesis Submission Date

Spring 2011

Document Type

Open Access Senior Thesis

Degree Name

Bachelor of Arts

Department

Mathematics

Reader 1

Mark Huber

Rights Information

© 2011 Luella Fu,

Terms of Use & License Information

Terms of Use for work posted in Scholarship@Claremont.

Abstract

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.

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