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Browsing Treballs d'estudiants by Author "Haynes, Jonathan"

Browsing Treballs d'estudiants by Author "Haynes, Jonathan"

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  • Estimating stochastic volatility: the rough side to equity returns
    Grimm, Lukas; Haynes, Jonathan; Schmitt, Daniel (2017)
    This Project evaluates the forecasting performance of a Brownian Semi-Stationary (BSS) process in modelling the volatility of 21 equity indices. We implement a sophisticated Hybrid Scheme to simulate BSS processes with ...

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