Sökning: "EGARCH"

Visar resultat 1 - 5 av 6 avhandlingar innehållade ordet EGARCH.

  1. 1. Essays on the Financial Aspects of Power Prices at the Nord Pool Power Exchange

    Författare :Daniel Deng; Göteborgs universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Nord Pool; market efficiency; cointegration; EGARCH; convenience yield; call option;

    Sammanfattning : Essay I examines the market efficiency issues at the Nord Pool power exchange in the September 1995 - July 2002 period. A unique characteristic of this electricity exchange is the high hydropower proportion in the traded electricity; water in the hydro reservoir acting as a hydropower inventory therefore plays an important role in the pricing of electricity. LÄS MER

  3. 2. Three Essays on Electricity Spot and Financial Derivative Prices at the Nordic Power Exchange

    Författare :Daniel Deng; Göteborgs universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Nord Pool; market efficiency; cointegration; rational expectation competitive storage model; BDS test; Hsiehâ??s third order moment test; nonlinear causality; EGARCH; convenience yield; call option;

    Sammanfattning : Essay I examines the market efficiency issues at the Nord Pool power exchange in the September 1995 - July 2002 period. A unique characteristic of this electricity exchange is the high hydropower proportion in the traded electricity; water in the hydro reservoir acting as hydropower inventory therefore plays an important role in the pricing of electricity. LÄS MER

  4. 3. Properties and evaluation of volatility models

    Författare :Hans Malmsten; Handelshögskolan i Stockholm; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

    Sammanfattning : The general theme of this thesis is theoretical properties and evaluation of volatility models. The thesis consists of four papers. In the first chapter the moment structure of the EGARCH model is derived. The second chapter contains new results on the A-PARCH model. 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. Nonlinearities and regime shifts in financial time series

    Författare :Stefan Åsbrink; Handelshögskolan i Stockholm; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Sammanfattning : This volume contains four essays on various topics in the field of financial econometrics. All four discuss the properties of high frequency financial data and its implications on the model choice when an estimate of the capital asset return volatility is in focus. LÄS MER