Browsing by Subject "Variance"
Now showing items 1-2 of 2
-
Fourier methods for analyzing piecewise constant volatilities
(Springer, 2017)We develop procedures for testing whether a sequence of independent random variables has constant variance. If this is fulfilled, the modulus of a Fourier-type transformation of the volatility process is identically equal ... -
The subprime mortgage crisis : asset securitization and interbank lending
(North-West University, 2009)Subprime residential mortgage loan securitization and its associated risks have been a major topic of discussion since the onset of the subprime mortgage crisis (SMC) in 2007. In this regard, the thesis addresses the issues ...