Sökning: "OMX-index"

Visar resultat 1 - 5 av 6 avhandlingar innehållade ordet OMX-index.

  1. 1. Essays on market microstructure : empirical evidence from some Nordic exchanges

    Författare :Jonas Niemeyer; Handelshögskolan i Stockholm; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Sammanfattning : This dissertation consists of five separate and self-contained essays. They have been written as distinct papers. Although there is a fair amount of overlap and cross-reference in analysis and discussion, the intention is that potential readers should be able to read them separately. LÄS MER

  3. 2. Option Pricing and Bayesian Learning

    Författare :Ola Jönsson; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; ekonomisk politik; ekonomiska system; ekonomisk teori; ekonometri; Bayesian learning; Volatility smile; Economics; Polya urn model; economic theory; econometrics; economic systems; Nationalekonomi; economic policy; Finansiering; Financial science;

    Sammanfattning : This thesis consists of three chapters devoted to both empirical and theoretical aspects of option pricing. The first chapter investigates the market for European options on the Swedish OMX index using daily data for the period 1993-2000. LÄS MER

  4. 3. Essays on univariate long memory models

    Författare :Johan Lyhagen; Uppsala universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Statistics; Statistik; Statistics; Statistik; Statistics; statistik;

    Sammanfattning : This thesis consists of five papers dealing with univariate long memory modelsin time series analysis.The first paper examines the performance of information criteria when usedto determine the lag order of a long memory process. The results indicate thatinformation criteria cannot be used successfully for small sample sizes. LÄS MER

  5. 4. Financial Volatility and Time-Varying Risk Premia

    Författare :Peter Hördahl; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Monte Carlo methods; Term structure of interest rates; Asymmetric variance; Time-varying risk premia; Volatility forecasting; CAPM; Conditional asset pricing models; Stochastic volatility; Volatility modeling; GARCH; Bond option pricing; Financial science; Finansiering;

    Sammanfattning : This thesis consists of four empirical essays, all dealing with return volatility of financial assets and/or time-varying risk premia. In the first essay, Changing Risk Premia: Evidence from a Small Open Economy, the relation between risk and return is investigated for Swedish stocks. LÄS MER

  7. 5. Essays on Financial Markets

    Författare :Hans Byström; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Electricity Futures; Option Pricing; Compass Rose; Covariance Matrix; Chaos; Stochastic Volatility; Financial Markets; GARCH; Financial science; Finansiering;

    Sammanfattning : This thesis consists of five empirical essays dealing with different issues related to financial markets. Chapter 2 studies a new multivariate technique, Orthogonal GARCH, of forecasting large covariance matrices based on GARCH models. LÄS MER