Sökning: "bond market"

Visar resultat 11 - 15 av 39 avhandlingar innehållade orden bond market.

  1. 11. 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

  3. 12. Competition, regulation and integration in international financial markets

    Författare :Jens Nystedt; Handelshögskolan i Stockholm; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Sammanfattning : Chapter I - Derivative Market Competition: OTC Markets Versus Organized Derivative Exchanges Recent regulatory initiatives in the United States have again raised the issue of a ''level regulatory and supervisory playing field'' and the degree of competition globally between over-the-counter (OTC) derivatives and organized derivative exchange (ODE) markets. This chapter models some important aspects of how an ODE market interrelates with the OTC markets. LÄS MER

  4. 13. The Pricing of Corporate Bonds and Determinants of Financial Structure

    Författare :Håkan Thorsell; Handelshögskolan i Stockholm; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Sammanfattning : This thesis contain three chapters. Default Risk in Corporate Bond Pricing. This chapter provides a model for how the corporate bond default risk influences the systematic risk and an empirical analysis of the systematic and idiosyncratic parts of U.S. LÄS MER

  5. 14. Essays in Empirical Finance: Volatility, Interdependencies, and Risk in Emerging Markets

    Författare :Anders C Johansson; Göteborgs universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Emerging markets; Asia; China; Stock markets; Bond markets; Exchange rates; Causality; Cointegration; Multivariate GARCH; Dynamic correlation; Timescales; Wavelet analysis; Heterogeneous markets; Multivariate stochastic volatility; Markov chain Monte Carlo; Country risk; Conditional beta;

    Sammanfattning : The four essays in this thesis deal with emerging markets and their empirical characteristics. They mainly explore the relationship among different markets and the thesis cover several asset classes, including stocks, bonds, and exchange rates. LÄS MER

  7. 15. Green Finance in Real Estate, Housing Price Volatility and Rental Swaps

    Författare :Aleksandar Petreski; Andreas Stephan; Agostino Manduchi; Bertram Steininger; Jönköping University; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Sammanfattning : This thesis consists of four papers that explore several aspects of the housing market in Sweden: financing of the housing construction sector, price volatility patterns of apartment and house segments and the role of the swap rental market in access to housing and household mobility.The first paper explores the effect of a firm’s reputation of being a green bond issuer on its financing costs. LÄS MER