Sökning: "Volatility modeling"

Visar resultat 1 - 5 av 32 avhandlingar innehållade orden Volatility modeling.

1. 1. Modeling financial volatility : A functional approach with applications to Swedish limit order book data

   Författare :Suad Elezovic; Xavier de Luna; Gunnar Rosenqvist; Umeå universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Financial data; functional time series; multivariate generalized least squares; seemingly unrelated autoregression; Statistics; computer and systems science; Statistik; data- och systemvetenskap; ekonometri; Econometrics;

   Sammanfattning : This thesis is designed to offer an approach to modeling volatility in the Swedish limit order market. Realized quadratic variation is used as an estimator of the integrated variance, which is a measure of the variability of a stochastic process in continuous time. LÄS MER

3. 2. Financial Volatility and Time-Varying Risk Premia

   Författare :Peter Hördahl; Nationalekonomiska institutionen; []
   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

4. 3. On the Normal Inverse Gaussian Distribution in Modeling Volatility in the Financial Markets

   Författare :Lars Forsberg; Luc Bauwens; Uppsala universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Informatics; computer and systems science; Volatility modeling; inverse Gaussian; normal inverse Gaussian; realized volatility; GARCH; Informatik; data- och systemvetenskap; Informatics; computer and systems science; Informatik; data- och systemvetenskap; statistik; Statistics;

   Sammanfattning : We discuss the Normal inverse Gaussian (NIG) distribution in modeling volatility in the financial markets. Refining the work of Barndorff-Nielsen (1997) and Andersson (2001), we introduce a new parameterization of the NIG distribution to build the GARCH(p,q)-NIG model. LÄS MER

5. 4. Empirical Studies on Economic and Financial Spillovers : Asymmetric Risk and Dependence Modeling

   Författare :Axel Hedström; Gazi Salah Uddin; Ali M. Ahmed; Ugur Soytas; Linköpings universitet; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Spillovers; systemic risk; risk modeling; risk dependence; asymmetric risk; energy finance; Spillovers; systemisk risk; riskmodellering; risk påverkan; asymmetrisk risk; energifinans;

   Sammanfattning : Financial assets are volatile, and volatility becomes more intense in terms of size and rate of recurrence when markets are uncertain and growing rapidly. The fact that the recurrence rate increased during crisis periods, such as the IT bubble in the early 2000 and the global financial crisis that started in 2007, is a key finding in the literature. LÄS MER

7. 5. Essays on Realized Volatility and Jumps

   Författare :Marcus Larsson; Nationalekonomiska institutionen; []
   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