Sökning: "GARCH"

Visar resultat 6 - 10 av 55 avhandlingar innehållade ordet GARCH.

1. 6. 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

3. 7. Essays in Financial Economics

   Författare :Emanuel Alfranseder; Nationalekonomiska institutionen; []
   Nyckelord :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

4. 8. 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

5. 9. Time Varying Parameters in Exchange Rate Models

   Författare :Richard Henricsson; Nationalekonomiska institutionen; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; economic systems; economic theory; econometrics; Economics; stochastich volatility.; purchasing power parity; GARCH; exchange rates; Stationarity; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik;

   Sammanfattning : This thesis consists of five papers on different aspects of parametervariation in some common exchange rate models.The first paper investigates the stability in the real exchange rate, witch is equivalent to purchasing power parity (PPP). LÄS MER

7. 10. Essays on Financial Risks and the Subprime Crisis

   Författare :Emanuel Alfranseder; Nationalekonomiska institutionen; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; GARCH; Spillover; Contagion; Financial Distress; Financial Constraints; Financial Crisis; Equity Premium; Doubt; Pessimism; ; Investment; Capital Structure; Bankruptcy Risk;

   Sammanfattning : This thesis covers the impact of the financial crisis of 2007-2009, the non-linearity in the impact of bankruptcy risk on leverage and the effect of pessimism and doubt on the equity premium. It consists of four self-contained essays. LÄS MER