Sökning: "Time-varying correlation"

Visar resultat 6 - 10 av 23 avhandlingar innehållade orden Time-varying correlation.

  1. 6. Essays in Empirical Finance: Volatility, Interdependencies, and Risk in Emerging Markets

    Författare :Anders C Johansson; Göteborgs universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Emerging markets; Asia; China; Stock markets; Bond markets; Exchange rates; Causality; Cointegration; Multivariate GARCH; Dynamic correlation; Timescales; Wavelet analysis; Heterogeneous markets; Multivariate stochastic volatility; Markov chain Monte Carlo; Country risk; Conditional beta;

    Sammanfattning : The four essays in this thesis deal with emerging markets and their empirical characteristics. They mainly explore the relationship among different markets and the thesis cover several asset classes, including stocks, bonds, and exchange rates. LÄS MER

  3. 7. Essays on the term structure of interest rates and long-run risks

    Författare :Henrik Hasseltoft; Handelshögskolan i Stockholm; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Sammanfattning : Stocks, Bonds, and Long-Run Consumption Risks. Bansal and Yaron (2004) show that long-run consumption risks and time-varying economic uncertainty in conjunction with recursive preferences can account for important features of equity markets. LÄS MER

  4. 8. Back on the map : essays on financial markets in the Baltic States

    Författare :Albina Soultanaeva; Kurt Brännäs; Hossein Asgharian; Umeå universitet; []
    Nyckelord :Financial Markets; Time series; GARCH; Asymmetry; News; nationalekonomi; Economics;

    Sammanfattning :  This thesis consists of five self-contained papers, which are all related to the financial markets in the three Baltic States, Estonia, Latvia and Lithuania.  Paper [I] studies the impact of news from the Moscow and New York stock exchanges on the returns and volatilities of the Baltic States' stock market indices using a time series model that accounts for asymmetries in the conditional mean and variance functions. LÄS MER

  5. 9. Essays on Banking and Portfolio Choice

    Författare :Bo Larsson; Hans Wijkander; Jean-Charles Rochet; Stockholms universitet; []
    Nyckelord :Optimal reserves; Time-diversification; Home bias;

    Sammanfattning : This thesis consists of three self-contained essays in the fields of banking and portfolio choice.Banking and Optimal Reserves in an Equilibrium Model:I address the question of reserves in banking, particularly the fact that reserves are substantially larger than the stipulated reserve requirements by Bank of International Settlements. LÄS MER

  7. 10. Essays in empirical finance

    Författare :Magnus Andersson; Handelshögskolan i Stockholm; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Sammanfattning : Financial market analysis nowadays constitutes an important pillar in central banks' monetary policy considerations. This is because the inherently forward-looking properties of asset prices can provide policy-makers with valuable information about future macroeconomic prospects, as seen through the eyes of investors. LÄS MER