Sökning: "Skewed GARCH process"

Hittade 2 avhandlingar innehållade orden Skewed GARCH process.

1. 1. Essays on Gaussian Probability Laws with Stochastic Means and Variances : With Applications to Financial Economics

   Författare :Anders Eriksson; Lars Forsberg; Menelaos Karanasos; Uppsala universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Statistics; Approximating a function of random variables; Skewness Modeling; Skewed GARCH process; Lévy Process; Option pricing; Statistik; Statistics; Statistik;

   Sammanfattning : This work consists of four articles concerning Gaussian probability laws with stochastic means and variances. The first paper introduces a new way of approximating the probability distribution of a function of random variables. This is done with a Gaussian probability law with stochastic mean and variance. LÄS MER

3. 2. 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