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Title: Asymptotic results for semimartingales and related processes with econometric applications.
Author: Kinnebrock, Silja
ISNI:       0000 0001 3600 0721
Awarding Body: Oxford
Current Institution: University of Oxford
Date of Award: 2008
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Measuring volatility and correlation is one of the key problems in financial markets which has been revolutionised by the availability of high-frequency data in recent years. In this thesis we use a continuous-time stochastic volatility model for the asset price process and deduce several asymptotic properties of relevant statistics in the context of volatility and correlation estimation. Furthermore we extend the model for a noise component taking into account market microstructure noise effects.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available