Sökning: "Volatility forecasting"

Visar resultat 16 - 20 av 20 avhandlingar innehållade orden Volatility forecasting.

  1. 16. Expectations, Financial Markets and Monetary Policy

    Författare :Dmytro Stoyko; Mikael Bask; Daniel Spiro; John Hassler; Uppsala universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Macroeconomics; Monetary policy; DSGE models; Expectations; Macroprudential regulations; Credit spread; Forward guidance; Economics; Nationalekonomi;

    Sammanfattning : Monetary Policy and Macroprudential Regulations. We investigate the desirability of macroprudential regulations in a DSGE model with collateral and income borrowing constraints. LÄS MER

  3. 17. Nonlinearities and regime shifts in financial time series

    Författare :Stefan Åsbrink; Handelshögskolan i Stockholm; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Sammanfattning : This volume contains four essays on various topics in the field of financial econometrics. All four discuss the properties of high frequency financial data and its implications on the model choice when an estimate of the capital asset return volatility is in focus. LÄS MER

  4. 18. Modifiers of patients' emergency department care-seeking behavior

    Författare :Martin Nordberg; Karolinska Institutet; Karolinska Institutet; []
    Nyckelord :Emergency services;

    Sammanfattning : Background: Inflow of patients to the emergency departments (ED) is increasing in many parts of the world, including Sweden. At the same time the number of EDs are decreasing. In addition to this, ED inflow is volatile. LÄS MER

  5. 19. 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

  7. 20. Expectations, Uncertainty, and Monetary Policy

    Författare :David Kjellberg; Annika Alexius; Nils Gottfries; Ulf Söderström; Uppsala universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Monetary Policy; Expectations; Uncertainty; Uncovered Interest Parity; Interest Rates; Economics; Nationalekonomi;

    Sammanfattning : Essay 1 - To evaluate measures of expectations I examine and compare some of the most common methods for capturing expectations: the futures method which utilizes financial market prices, the VAR forecast method, and the survey method. I study average expectations on the Federal funds rate target, and the main findings can be summarized as follows: i) the survey measure and the futures measure are highly correlated; the correlation coefficient is 0. LÄS MER