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Volatility and correlation: Modeling and forecasting using Support Vector Machines

Safari, Amir

Abstract:
Several Realized Volatility and Correlation estimators have been introduced. The estimators which are defined based on high frequency data converge to the true estimators faster than their counterparts even under Market Microstructure Noise. Also a strategy for multivariate volatility estimation has been introduced. The strategy which is an incorporation of Support Vector Machine with Multiresolution Analysis based on wavelets affords higher performance of estimation than the single estimation.

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Volltext §
DOI: 10.5445/IR/1000009069
Cover der Publikation
Zugehörige Institution(en) am KIT Institut für Angewandte Informatik und Formale Beschreibungsverfahren (AIFB)
Publikationstyp Hochschulschrift
Publikationsjahr 2008
Sprache Englisch
Identifikator urn:nbn:de:swb:90-90690
KITopen-ID: 1000009069
Verlag Universität Karlsruhe (TH)
Art der Arbeit Dissertation
Fakultät Fakultät für Wirtschaftswissenschaften (WIWI)
Institut Institut für Angewandte Informatik und Formale Beschreibungsverfahren (AIFB)
Prüfungsdaten 14.07.2008
Referent/Betreuer Prof. D. Seese
KIT – Die Forschungsuniversität in der Helmholtz-Gemeinschaft
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