Title page for etd-0114110-133726


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URN etd-0114110-133726
Author Hsiao-Yung Pao
Author's Email Address m962040029@student.nsysu.edu.tw
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Department Applied Mathematics
Year 2009
Semester 1
Degree Master
Type of Document
Language English
Title On autocorrelation estimation of high frequency squared returns
Date of Defense 2010-01-08
Page Count 33
Keyword
  • synchronization.
  • stochastic diffusion model
  • Poisson process
  • previous tick interpolation
  • squared return
  • high frequency data
  • Heston model
  • CIR model
  • autocorrelation function
  • Abstract In this paper, we investigate the problem of estimating the autocorrelation of squared returns modeled by diffusion processes with data observed at non-equi-spaced discrete times. Throughout, we will suppose that the stock price processes evolve in continuous time as the Heston-type stochastic volatility processes and the transactions arrive randomly according to a Poisson process. In order to estimate the autocorrelation at a fixed delay, the original non-equispaced data will be synchronized. When imputing missing data, we adopt the previous-tick
    interpolation scheme. Asymptotic property of the sample autocorrelation of squared returns
    based on the previous-tick synchronized data will be investigated. Simulation studies are performed
    and applications to real examples are illustrated.
    Advisory Committee
  • Mong-Na Lo Huang - chair
  • Fu-Chuen Chang - co-chair
  • May-Ru Chen - co-chair
  • Shih-Feng Huang - co-chair
  • Mei-Hui Guo - advisor
  • Files
  • etd-0114110-133726.pdf
  • indicate access worldwide
    Date of Submission 2010-01-14

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