Sökning: "Volatility model evaluation"

Visar resultat 1 - 5 av 11 avhandlingar innehållade orden Volatility model evaluation.

  1. 1. Properties and evaluation of volatility models

    Författare :Hans Malmsten; Handelshögskolan i Stockholm; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

    Sammanfattning : The general theme of this thesis is theoretical properties and evaluation of volatility models. The thesis consists of four papers. In the first chapter the moment structure of the EGARCH model is derived. The second chapter contains new results on the A-PARCH model. LÄS MER

  3. 2. Hybrid Solvents based on Ionic Liquids/Deep Eutectic Solvents for CO2 Separation : Experiments, Modeling, Process Simulation and Evaluation

    Författare :Chunyan Ma; Xiaoyan Ji; Päivi Mäki-Arvela; Luleå tekniska universitet; []
    Nyckelord :TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; CO2 separation; Ionic liquids; Deep eutectic solvents; Cosolvent; Thermodynamic modeling; Process simulation and evaluation; Energiteknik; Energy Engineering;

    Sammanfattning : CO2 separation plays a vital role in reducing CO2 emissions to combat climate change, in which solvent-based absorption is widely considered the most promising technology. Many conventional chemical and physical solvents have been introduced for CO2 separation, still facing challenges. LÄS MER

  4. 3. Unconventional Monetary Policy at the International, National and Local Level

    Författare :Martin Nordström; Pär Österholm; Niclas Kreuger; Lars Hultkrantz; Jesper Lindé; Örebro universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Bayesian VAR; Cointegration; Forecast evaluation; Municipal debt; Spread; Stochastic volatility; Sveriges Riksbank; Time-varying parameters; Unconventional monetary policy;

    Sammanfattning : This thesis is based on four essays. The first investigates time-variation in the relationship between short interest rates and consumption in the USA and Sweden. Results based on Bayesian VAR models indicate that the short rate ceased to respond to consumption shocks when constrained by the zero lower bound. LÄS MER

  5. 4. Risk-Neutral and Physical Estimation of Equity Market Volatility

    Författare :Mathias Barkhagen; Jörgen Blomvall; Ou Tang; Magnus Wiktorsson; Linköpings universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES;

    Sammanfattning : The overall purpose of the PhD project is to develop a framework for making optimal decisions on the equity derivatives markets. Making optimal decisions refers e.g. to how to optimally hedge an options portfolio or how to make optimal investments on the equity derivatives markets. LÄS MER

  7. 5. Essays on Financial Markets

    Författare :Hans Byström; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Electricity Futures; Option Pricing; Compass Rose; Covariance Matrix; Chaos; Stochastic Volatility; Financial Markets; GARCH; Financial science; Finansiering;

    Sammanfattning : This thesis consists of five empirical essays dealing with different issues related to financial markets. Chapter 2 studies a new multivariate technique, Orthogonal GARCH, of forecasting large covariance matrices based on GARCH models. LÄS MER