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    Measuring and Modelling the Volatility of Financial Time Series

    Luong 2016.pdf (760.0Kb)
    Access Status
    Open access
    Authors
    Luong, Phan Anh Chuong
    Date
    2016
    Supervisor
    Assoc. Prof. Nikolai Dokuchaev
    Dr Honglei Xu
    Type
    Thesis
    Award
    PhD
    
    Metadata
    Show full item record
    Faculty
    Science and Engineering
    School
    Department of Mathematics and Statistics
    URI
    http://hdl.handle.net/20.500.11937/48861
    Collection
    • Curtin Theses
    Abstract

    The thesis studies the measures and models of volatility for financial time series. We address the dependency of volatility on sampling frequency and show that this relationship can be explained by using delay equations for the underlying prices. In addition, a new implied volatility process is proposed to reduce the impact of the price movement. This allows us to improve the forecast accuracy of future volatility via the heterogeneous autoregressive model and random forest algorithm.

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