Sökning: "jumps"
Visar resultat 1 - 5 av 79 avhandlingar innehållade ordet jumps.
1. Essays on Realized Volatility and Jumps
Sammanfattning : Financial markets sometimes generate significant discontinuities, so called jumps, triggered by large informational shocks and extreme events. In the last decade, there is an increasing interest in financial economics towards modeling these jumps which may have significant consequences for risk management, and portfolio allocation. LÄS MER
2. Smoothed particle hydrodynamics in hydropower applications : modeling of hydraulic jumps
Sammanfattning : In present thesis, the Lagrangian particle based method Smoothed ParticleHydrodynamics (SPH) is used to model two-dimensional problems associated with hydropower applications such as dam break evolution and hydraulic jumps. In the SPHmethod, the fluid domain is represented by a set of non-connected particles which possess individual material properties such as mass, density, velocity, position and pressure. LÄS MER
3. Essays on stochastic volatility
Sammanfattning : This dissertation consists of five papers concerned with the estimation and analysis of financial price processes. The first paper develops a stock price model and analyzes the impact of the US and the regional European stock markets on the local European countries’ stock markets. LÄS MER
4. Essays on Stock Market Integration - On Stock Market Efficiency, Price Jumps and Stock Market Correlations
Sammanfattning : This thesis consists of four self-contained papers related to the change of market structure and the quality of equity market.In Paper [I] we found, by using of a Flexible Dynamic Component Correlations (FDCC) model, that the creation of a common cross-border stock trading platform has increased the long-run trends in conditional correlations between foreign and domestic stock market returns. LÄS MER
5. Smoothed Particle Hydrodynamic of Hydraulic Jumps in Spillways
Sammanfattning : This thesis focus on the complex natural phenomena of hydraulic jumps using the numerical method Smoothed Particle Hydrodynamics (SPH). A hydraulic jump is highly turbulent and associated with turbulent energy dissipation, air entrainment, surface waves and spray and strong dissipative processes. LÄS MER