Thesis (Ph. D.)--University of Rochester. Dept. of Economics, 2010.

The problem of determining whether or not a theoretical model is an accurate representation of an empirically observed phenomenon is one of the most challenging in the empirical scientific investigation. The following study explores the problem of stochastic model validation. Special attention...

Many applications in finance use a non-linear transformation of the variance of returns. While the sample variance is an unbiased and consistent estimator of the population variance of returns, non-linear transformations of the sample variance will be consistent but biased. For estimates of...

Limit distribution results on realized power variation, that is, sums of absolute powers of increments of a process, are derived for certain types of semimartingale with continuous local martingale component, in particular for a class of flexible stochastic volatility models. The theory covers,...

This article shows that realized power variation and its extension, realizedbipower variation, which we introduce here, are somewhat robust to rarejumps. We demonstrate that in special cases, realized bipower variation estimates integrated variance in stochastic volatility models, thus providing...

This study examines the forecasting power of the most popular volatility forecasting models in the S&P 500 index market, the Eurodollar futures market, and the 30-year US T-Bond futures market at a daily level using a market-based option-pricing error approach. Comparison has been made between...

There is a growing need to model the dynamics of electricity spot prices. While many studies have adopted the jump-diffusion model used successfully in traditional financial markets, the distinctive features of energy prices present non-trivial challenges. In particular, electricity price series...

This paper examines the relationship between the volatility implied in option prices and the subsequently realized volatility by using the S&P/ASX 200 index options (XJO) traded on the Australian Stock Exchange (ASX) during a period of 5 years. Unlike stock index options such as the S&P 100...

This thesis studies four related topics in financial economics; realized volatility modelling and forecasting in the presence of model instability, forecasting stock return realized volatility at the quarterly frequency, quarterly realized beta measurement and beta neutrality evaluation under a...

The classified pricing of fluid milk under the Federal Milk Marketing Orders (FMMO) system combined with the cash settlement feature of Class IIII milk futures contracts generate a unique volatility pattern of these futures markets in the sense that the volatility gradually decreases as the USDA...