Sökning: "factor pricing models"

Visar resultat 1 - 5 av 18 avhandlingar innehållade orden factor pricing models.

1. 1. Evaluating Asset-Pricing Models in International Financial Markets

   Författare :Fadi Zaher; Högskolan i Skövde; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; financial science; economic policy; economic theory; economic systems; econometrics; Hansen-Jagannathan boundsequity premium puzzle; Forecasting methods; asset-pricing models; Economics; bootstrap; short-sales constraint; ekonomisk politik; finansiering; ekonomiska system; nationalekonomi; ekonometri; Hansen-Jagannathan bounds; ekonomisk teori; Business and economics; Ekonomi; Humanities and Social sciences; Humaniora-samhällsvetenskap; ekonomisk politik; Financial science; Finansiering; ekonomiska system; economic policy; Nationalekonomi; ekonometri; economic theory; economic systems; econometrics; Hansen-Jagannathan bounds; equity premium puzzle; Forecasting methods; asset-pricing models; ekonomisk teori; Economics; bootstrap.; short-sales constraint;

   Sammanfattning : This thesis consists of three empirical studies on asset-prices in international financial markets. The purpose is three-fold. First, to evaluate whether good predictions of economic variables may be obtained by pooling information from a broad group of financial variables. LÄS MER

3. 2. Asset Pricing Models with Stochastic Volatility

   Författare :Jean-Paul Murara; Sergei Silvestrov; George Fodor; Mälardalens högskola; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Mathematics Applied Mathematics; matematik tillämpad matematik;

   Sammanfattning : Asset pricing modeling is a wide range area of research in Financial Engineering. In this thesis, which consists of an introduction, three papers and appendices; we deal with asset pricing models with stochastic volatility. Here stochastic volatility modeling includes diffusion models and regime-switching models. LÄS MER

4. 3. Essays in empirical asset pricing

   Författare :Johan Parmler; Handelshögskolan i Stockholm; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

   Sammanfattning : Capital Asset Pricing Model (CAPM) is the most widely used model in asset pricing. This model evaluates the asset return in relation to the market return and the sensitivity of the security to the market. However, the evidence supporting the CAPM is mixed. LÄS MER

5. 4. Market Models with Stochastic Volatility

   Författare :Jean-Paul Murara; Sergei Silvestrov; Guglielmo D’Amico; Mälardalens högskola; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Mathematics Applied Mathematics; matematik tillämpad matematik;

   Sammanfattning : Financial Markets is an interesting wide range area of research in Financial Engineering. In this thesis, which consists of an introduction, six papers and appendices, we deal with market models with stochastic volatility in order to understand some financial derivatives, mainly European options. LÄS MER

7. 5. Decomposing the Option Pricing Problem : Estimating the Causal Factors: Interest Rates, Dividends, and Risk-Neutral Probabilities

   Författare :Pontus Söderbäck; Jörgen Blomvall; Martin Singull; Stein-Erik Fleten; Linköpings universitet; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

   Sammanfattning : The financial markets have an essential role in society. Further, these markets are constantly evolving. Therefore, models and methods have to be developed and adapted to the new market conditions to be useful for decisions. LÄS MER