Sökning: "nationalekonomi time series risk"
Visar resultat 1 - 5 av 40 avhandlingar innehållade orden nationalekonomi time series risk.
1. Empirical Studies on Economic and Financial Spillovers : Asymmetric Risk and Dependence Modeling
Sammanfattning : Financial assets are volatile, and volatility becomes more intense in terms of size and rate of recurrence when markets are uncertain and growing rapidly. The fact that the recurrence rate increased during crisis periods, such as the IT bubble in the early 2000 and the global financial crisis that started in 2007, is a key finding in the literature. LÄS MER
2. Essays on credit markets and banking
Sammanfattning : This thesis consists of four self-contained papers related to banking, credit markets and financial stability. Paper [I] presents a credit market model and finds, using an agent based modeling approach, that credit crunches have a tendency to occur; even when credit markets are almost entirely transparent in the absence of external shocks. LÄS MER
3. On Risk Prediction
Sammanfattning : This thesis comprises four papers concerning risk prediction. Paper [I] suggests a nonlinear and multivariate time series model framework that enables the study of simultaneity in returns and in volatilities, as well as asymmetric effects arising from shocks. LÄS MER
4. On the profitability of momentum strategies and optimal leverage rules
Sammanfattning : This thesis consists of an introductory part and five self-contained papers related to the profitability of momentum strategies and optimal leverage rules.Paper [I] tests the success rate of trades and the returns of the Opening Range Breakout (ORB) day trading strategy. LÄS MER
5. Institutional Ownership - the Anonymous Capital : Corporate Governance and Investment Performance
Sammanfattning : This thesis consists of five separate essays and an introductory chapter, The essays can be read independently from each other, but they are all in the field of corporate governance and investment performance. Specifically, the focus is on the role of institutional owners in the conflict between controlling shareholders and minority owners. LÄS MER