Carson Drummond

University of Wollongong, School of Mathematics and Applied Statistics

Northfields Ave

Wollongong, NSW 2522

Australia

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Scholarly Papers (1)

1.

Hilbert-Huang Based Volatility Forecasts for High Frequency Data and Simulated Option Markets

27th Australasian Finance and Banking Conference 2014 Paper
Number of pages: 20 Posted: 19 Aug 2014
Carson Drummond, Pamela Davy and Chandra Gulati
University of Wollongong, School of Mathematics and Applied Statistics, University of Wollongong and University of Wollongong
Downloads 207 (154,298)

Abstract:

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Volatility, Hilbert-Huang transform, empirical mode decomposition, realized volatility, virtual option market, straddle options, microstructure noise, spot volatility