Now showing items 1-2 of 2

    • Beta Estimation Using High Frequency Data 

      Ryu, Angela (2011-04-18)
      Using high frequency stock price data in estimating nancial measures often causes serious distortion. It is due to the existence of the market microstructure noise, the lag of the observed price to the underlying value ...
    • Copulas for High Dimensions: Models, Estimation, Inference, and Applications 

      Oh, Dong Hwan (2014)
      The dissertation consists of four chapters that concern topics on copulas for high dimensions. Chapter 1 proposes a new general model for high dimension joint distributions of asset returns that utilizes high frequency data ...