Sökning: "Volatility"

Visar resultat 1 - 5 av 175 avhandlingar innehållade ordet Volatility.

  1. 1. Essays on stochastic volatility

    Detta är en avhandling från Lund University

    Författare :Marcus Nossman; Lund University.; Lunds universitet.; [2009]
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; volatility; Contagion; jumps; risk premium; MCMC;

    Sammanfattning : This dissertation consists of five papers concerned with the estimation and analysis of financial price processes. The first paper develops a stock price model and analyzes the impact of the US and the regional European stock markets on the local European countries’ stock markets. LÄS MER

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

    Detta är en avhandling från Department of Economics, Lund Universtiy

    Författare :Peter Hördahl; Lund University.; Lunds universitet.; [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

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

    Detta är en avhandling från Umeå

    Författare :Suad Elezovic; Umeå universitet.; [2009]
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Financial data; functional time series; multivariate generalized least squares; seemingly unrelated autoregression; SOCIAL SCIENCES Statistics; computer and systems science; SAMHÄLLSVETENSKAP 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

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

    Detta är en avhandling från Uppsala : Acta Universitatis Upsaliensis

    Författare :Lars Forsberg; Uppsala universitet.; [2002]
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Informatics; computer and systems science; Volatility modeling; inverse Gaussian; normal inverse Gaussian; realized volatility; GARCH; Informatik; data- och systemvetenskap; SOCIAL SCIENCES Statistics; computer and systems science Informatics; computer and systems science; SAMHÄLLSVETENSKAP Statistik; data- och systemvetenskap 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. 5. Essays on Financial Market Volatility

    Detta är en avhandling från Uppsala : Acta Universitatis Upsaliensis

    Författare :Ai Jun HOU; Lund University.; Lunds universitet.; [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