Visar resultat 1 - 5 av 203 avhandlingar innehållade ordet Volatility.
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
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
Sammanfattning : This doctoral thesis consists of four independent research papers. All papers are empirical and cover the area of financial market risk, with a particular focus on systemic risk and volatility in financial markets. LÄS MER
4. Modeling financial volatility : A functional approach with applications to Swedish limit order book data
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
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