Sökning: "Asset pricing models"

Visar resultat 1 - 5 av 31 avhandlingar innehållade orden Asset pricing models.

1. 1. Evaluating Asset-Pricing Models in International Financial Markets

   Författare :Fadi Zaher; Högskolan i Skövde; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; financial science; economic policy; economic theory; economic systems; econometrics; Hansen-Jagannathan boundsequity premium puzzle; Forecasting methods; asset-pricing models; Economics; bootstrap; short-sales constraint; ekonomisk politik; finansiering; ekonomiska system; nationalekonomi; ekonometri; Hansen-Jagannathan bounds; ekonomisk teori; Business and economics; Ekonomi; Humanities and Social sciences; Humaniora-samhällsvetenskap; ekonomisk politik; Financial science; Finansiering; ekonomiska system; economic policy; Nationalekonomi; ekonometri; economic theory; economic systems; econometrics; Hansen-Jagannathan bounds; equity premium puzzle; Forecasting methods; asset-pricing models; ekonomisk teori; Economics; bootstrap.; short-sales constraint;

   Sammanfattning : This thesis consists of three empirical studies on asset-prices in international financial markets. The purpose is three-fold. First, to evaluate whether good predictions of economic variables may be obtained by pooling information from a broad group of financial variables. LÄS MER

3. 2. Asset Pricing Models with Stochastic Volatility

   Författare :Jean-Paul Murara; Sergei Silvestrov; George Fodor; Mälardalens högskola; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Mathematics Applied Mathematics; matematik tillämpad matematik;

   Sammanfattning : Asset pricing modeling is a wide range area of research in Financial Engineering. In this thesis, which consists of an introduction, three papers and appendices; we deal with asset pricing models with stochastic volatility. Here stochastic volatility modeling includes diffusion models and regime-switching models. LÄS MER

4. 3. Essays in empirical asset pricing

   Författare :Johan Parmler; Handelshögskolan i Stockholm; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

   Sammanfattning : Capital Asset Pricing Model (CAPM) is the most widely used model in asset pricing. This model evaluates the asset return in relation to the market return and the sensitivity of the security to the market. However, the evidence supporting the CAPM is mixed. LÄS MER

5. 4. International Asset Pricing, Diversification and Links between National Stock Markets

   Författare :Birger Nilsson; Nationalekonomiska institutionen; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Financial science; Finansiering; economic systems; economic theory; Economics; econometrics; Simulated Annealing; Capital Market Liberalization; International Asset Pricing; Diversification;

   Sammanfattning : This thesis consists of three self-contained empirical studies on international financial economics. The common economic theme is that all three studies deal with international stock market return and risk. LÄS MER

7. 5. Essays on Financial Models

   Författare :Henrik Amilon; Nationalekonomiska institutionen; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; options; neural networks; hedging; portfolio optimization; econometrics; Economics; ekonomisk teori; ekonomiska system; ekonomisk politik; ekonometri; generalized residuals; discreteness; GARCH; compass rose; nonlinearities; Chaos; economic theory; economic systems; Nationalekonomi; economic policy;

   Sammanfattning : This thesis consists of five essays exploring the validity of some extensively used financial models with a focus on the Swedish equity and derivative markets. The essays are of both an empirical and a theoretical nature. LÄS MER