Sökning: "Tests for jumps"

Visar resultat 1 - 5 av 7 avhandlingar innehållade orden Tests for jumps.

  1. 1. Essays on Stock Market Integration - On Stock Market Efficiency, Price Jumps and Stock Market Correlations

    Författare :Yuna Liu; Tomas Sjögren; Jörgen Hellström; Mikael Bask; Umeå universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Time-varying return predictability; Tests for jumps; International financial markets; Market structure; Common trading platform; Integration; Time-varying correlation; C-GARCH; Trust; Portfolio Diversification; Stock Market Participation; nationalekonomi; Economics;

    Sammanfattning : This thesis consists of four self-contained papers related to the change of market structure and the quality of equity market.In Paper [I] we found, by using of a Flexible Dynamic Component Correlations (FDCC) model, that the creation of a common cross-border stock trading platform has increased the long-run trends in conditional correlations between foreign and domestic stock market returns. LÄS MER

  3. 2. Essays on stochastic volatility

    Författare :Marcus Nossman; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; volatility; Contagion; jumps; risk premium; MCMC;

    Sammanfattning : This dissertation consists of five papers concerned with the estimation and analysis of financial price processes. The first paper develops a stock price model and analyzes the impact of the US and the regional European stock markets on the local European countries’ stock markets. LÄS MER

  4. 3. Auri sacra fames : Interest Rates -- Prediction, Jumps and the Market Price of Risk

    Författare :Carl Wilkens; Mats Persson; Peter Sellin; Michael Bergman; Stockholms universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; instantaneous interest rate; fixed income market; asset pricing; derivative pricing; Economics; Nationalekonomi;

    Sammanfattning : This thesis consists of three essays investigating different aspects of interest rates."Prediction of Future Risk-Neutral Short-Term Interest Rate Densities: Can the Black, Derman and Toy Model Assist?" (Co-authored with David Vestin. LÄS MER

  5. 4. On Statistical Aspects of Modelling Financial Volatility

    Författare :Farrukh Javed; Statistiska institutionen; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Causality Dynamic conditional correlation Jumps Mixed-data-sampling Volatility;

    Sammanfattning : This thesis is comprised of five papers that are all related to the subject of financial time series. We study statistical aspects of conditional heteroskedastic models commonly used in modelling financial volatility. Paper I discusses the performance of commonly known information criteria in the presence of various GARCH processes. LÄS MER

  7. 5. Injury Prevention in Youth Football Players : Training Effects and Programme Implementation

    Författare :Hanna Lindblom; Martin Hägglund; Markus Waldén; Siw Carlfjord; Keith Stokes; Linköpings universitet; []
    Nyckelord :MEDICIN OCH HÄLSOVETENSKAP; MEDICAL AND HEALTH SCIENCES;

    Sammanfattning : Background With 17–35% of all 14-year-olds in Sweden being active in football, injuries do occur, most frequently during match play. Based on knowledge of injury mechanisms and risk factors, different injury prevention exercise programmes (IPEPs) have been developed. LÄS MER