Sökning: "Conditional asset pricing models"

Hittade 4 avhandlingar innehållade orden Conditional asset pricing models.

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

    Detta är en avhandling från Department of Economics, Lund Universtiy

    Författare :Birger Nilsson; Lund University.; Lunds universitet.; [2002]
    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

  2. 2. Financial Volatility and Time-Varying Risk Premia

    Detta är en avhandling från Department of Economics, Lund Universtiy

    Författare :Peter Hördahl; Lund University.; Lunds universitet.; [1997]
    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

  3. 3. Essays on Financial Models

    Detta är en avhandling från Department of Economics, Lund Universtiy

    Författare :Henrik Amilon; Lund University.; Lunds universitet.; [2000]
    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

  4. 4. Essays on Incomplete Information in Financial Markets

    Detta är en avhandling från Department of Economics, Lund Universtiy

    Författare :Frederik Lundtofte; Lund University.; Lunds universitet.; [2005]
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; ekonomiska system; ekonomisk politik; Financial science; Finansiering; ekonomisk teori; economic policy; Nationalekonomi; ekonometri; Economics; econometrics; economic theory; factor pricing models; hedging demands; estimation risk; partial information; learning; economic systems;

    Sammanfattning : This thesis consists of three essays on incomplete information in financial markets, two of which are theoretical, and one that is mainly of an empirical nature. All three essays concern parameter uncertainty, and they employ a continuous-time framework. LÄS MER