Volatility modeling and estimation of high-frequency data with Gaussian noise

Fang, Yue

Volatility modeling and estimation of high-frequency data with Gaussian noise

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Author(s)

Fang, Yue

Advisor(s)

Bin Zhou.

Date Issued

1996

Publisher

Massachusetts Institute of Technology

Description

Thesis (Ph. D.)--Massachusetts Institute of Technology, Sloan School of Management, 1996.

Includes bibliographical references (leaves 148-154).

Subjects

Sloan School of Management

MIT Department

Sloan School of Management

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