Category: Volatility

  • Structural Breaks in Volatility

    This was my third PhD project, and it took far less time than my first project, as I had already learned much of the coding and theory, so it was a matter of reading papers on the subject, while trying to find something no one else had done before.  

  • Realised Volatility Copula

    This was my second PhD project, and it took far less time than my first project, as I had already learned much of the coding and theory, so it was a matter of reading papers on the subject, while trying to find something no one else had done before.

  • Bayesian Quantile Forecasting Using Realised Volatility

    This was my first project when I started my PhD in March 2013. I took me close to a year to complete and put it into a paper.