Sökning: "FIGARCH"

Hittade 1 avhandling innehållade ordet FIGARCH.

1. 1. Essays on VIX Futures and Options

   Författare :Bujar Huskaj; Nationalekonomiska institutionen; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; NIG; Long memory; Futures; FIGARCH; FIAPARCH; Options; Realized volatility; VaR; VIX; Volume;

   Sammanfattning : This thesis consists of three essays on VIX futures and options, and deals with issues highly relevant to all financial markets, such as understanding the operation of markets and developing flexible and tractable pricing models for contracts traded in them. It consists of four chapters. LÄS MER