Sökning: "Volatility forecasting"

Visar resultat 1 - 5 av 13 avhandlingar innehållade orden Volatility forecasting.

  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

  2. 2. Essays on Financial Market Volatility

    Detta är en avhandling från Department of Economics, Lund Universtiy

    Författare :Ai Jun HOU; Lunds universitet.; Lund University.; [2011]
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Nonparametric GARCH model; News Impact Curve; Interest rate volatility; MCMC; Markov Switching; Chinese stock markets; EMU stock markets;

    Sammanfattning : This thesis examines the volatility in the equity and short-term interest-rate markets, and the spillover from the short term interest rate market to the equity market. It consists of three papers and focuses on adapting and proposing models for the estimation and forecasting of financial market volatility. LÄS MER

  3. 3. Essays on Realized Volatility and Jumps

    Detta är en avhandling från Department of Economics, Lund Universtiy

    Författare :Marcus Larsson; Lunds universitet.; Lund University.; [2008]
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Jumps; Bi-power variation; High frequency data; Realized volatility;

    Sammanfattning : Financial markets sometimes generate significant discontinuities, so called jumps, triggered by large informational shocks and extreme events. In the last decade, there is an increasing interest in financial economics towards modeling these jumps which may have significant consequences for risk management, and portfolio allocation. LÄS MER

  4. 4. Essays on Risk in International Financial Markets

    Detta är en avhandling från Department of Economics, Lund Universtiy

    Författare :Ola Larsson; Lunds universitet.; Lund University.; [2007]
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; volatility; Value at Risk; copulas; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Financial science; Finansiering;

    Sammanfattning : Popular Abstract in Swedish Denna avhandling behandlar metoder för att modellera risk på de finansiella marknaderna. Avhandlingen består av fyra separata uppsatser och inleds med en introduktion i kapitel ett, medan kapitel två till kapitel 5 består av de fyra uppsatserna. LÄS MER

  5. 5. Some Contributions to Filtering, Modeling and Forecasting of Heteroscedastic Time Series

    Detta är en avhandling från Stockholm : Department of Statistics, Stockholm University

    Författare :Pär Stockhammar; Stockholms universitet.; [2010]
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Heteroscedasticity; variance stabilizing filters; the mixed Normal - Asymmetric Laplace distribution; density forecasting; detrending filters; spectral analysis; the connection between financial data and economic growth; SOCIAL SCIENCES Statistics; computer and systems science Statistics; SAMHÄLLSVETENSKAP Statistik; data- och systemvetenskap Statistik; statistik; Statistics;

    Sammanfattning : Heteroscedasticity (or time-dependent volatility) in economic and financial time series has been recognized for decades. Still, heteroscedasticity is surprisingly often neglected by practitioners and researchers. This may lead to inefficient procedures. LÄS MER