Sökning: "Peter Hördahl"

Hittade 1 avhandling innehållade orden Peter Hördahl.

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

    Detta är en avhandling från Department of Economics, Lund Universtiy

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