Graduation Year
Spring 2011
Document Type
Open Access Senior Thesis
Degree Name
Bachelor of Arts
Department
Mathematics
Reader 1
Mark Huber
Terms of Use & License Information
Rights Information
© 2011 Luella Fu,
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.
Recommended Citation
Fu, Luella, "Applying Localized Realized Volatility Modeling to Futures Indices" (2011). CMC Senior Theses. 216.
https://scholarship.claremont.edu/cmc_theses/216
Included in
Applied Statistics Commons, Longitudinal Data Analysis and Time Series Commons, Statistical Models Commons
