Sökning: "Volatility"

Visar resultat 1 - 5 av 168 avhandlingar innehållade ordet Volatility.

  1. 1. Essays on stochastic volatility

    Detta är en avhandling från Lund University

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

    Sammanfattning : Popular Abstract in Swedish Avhandlingen består av fem stycken artiklar som analyserar och estimerar finansiella prisprocesser. Alla artiklarna handlar också om stokastiska volatilitetsprocesser som estimeras med Bayesiansk statistik och Markov Chain Monte Carlo (MCMC) metoder. LÄS MER

  2. 2. 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

  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; 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