Sökning: "GARCH"

Visar resultat 1 - 5 av 41 avhandlingar innehållade ordet GARCH.

  1. 1. On the Normal Inverse Gaussian Distribution in Modeling Volatility in the Financial Markets

    Författare :Lars Forsberg; Luc Bauwens; Uppsala universitet; []
    Nyckelord :NATURAL SCIENCES; NATURVETENSKAP; Informatics; computer and systems science; Volatility modeling; inverse Gaussian; normal inverse Gaussian; realized volatility; GARCH; Informatik; data- och systemvetenskap; Informatics; computer and systems science; Informatik; data- och systemvetenskap; statistik; Statistics;

    Sammanfattning : We discuss the Normal inverse Gaussian (NIG) distribution in modeling volatility in the financial markets. Refining the work of Barndorff-Nielsen (1997) and Andersson (2001), we introduce a new parameterization of the NIG distribution to build the GARCH(p,q)-NIG model. LÄS MER

  2. 2. Testing for Unit Root against LISTAR Model : Wavelet Improvement under GARCH Distortion

    Författare :Yushu Li; Ghazi Shukur; Växjö universitet; []
    Nyckelord :;

    Sammanfattning : In this paper we propose a Nonlinear Dickey-Fuller F test for unit root against first order Logistic Smooth Transition Autoregressive LISTAR (1) model with time as the transition variable. The Nonlinear Dickey-Fuller F test statistics is established under the null hypothesis of random walk without drift and the alternative model is a nonlinear LSTAR (1) model. LÄS MER

  3. 3. Essays on Financial Markets

    Författare :Hans Byström; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Electricity Futures; Option Pricing; Compass Rose; Covariance Matrix; Chaos; Stochastic Volatility; Financial Markets; GARCH; Financial science; Finansiering;

    Sammanfattning : This thesis consists of five empirical essays dealing with different issues related to financial markets. Chapter 2 studies a new multivariate technique, Orthogonal GARCH, of forecasting large covariance matrices based on GARCH models. LÄS MER

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

    Författare :Peter Hördahl; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; 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

  5. 5. Essays in Financial Economics

    Författare :Emanuel Alfranseder; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; GARCH; Spillover; Contagion; Financial Distress; Financial Constraints; Financial Crisis; Behavioral Finance; Equity Premium; Doubt; Pessimism;

    Sammanfattning : Chapter 1 develops a framework to investigate the impact of the financial crisis starting in 2007 and employs an extended GARCH model to test for spillover and contagion effects originating from the financial sector. We find that the financial crisis affects financially distressed firms more heavily than non-distressed firms. LÄS MER