Sökning: "realized"

Visar resultat 1 - 5 av 762 avhandlingar innehållade ordet realized.

  1. 1. Essays on Realized Volatility and Jumps

    Författare :Marcus Larsson; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Jumps; Bi-power variation; High frequency data; Realized volatility;

    Sammanfattning : Financial markets sometimes generate significant discontinuities, so called jumps, triggered by large informational shocks and extreme events. In the last decade, there is an increasing interest in financial economics towards modeling these jumps which may have significant consequences for risk management, and portfolio allocation. LÄS MER

  3. 2. Modeling Realized Covariance of Asset Returns

    Författare :Gustav Alfelt; Joanna Tyrcha; Taras Bodnar; Tatjana von Rosen; Stockholms universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Mathematical Statistics; matematisk statistik;

    Sammanfattning : In this thesis, which consists of two papers, we consider the modeling of positive definitive symmetric matrices, in particular covariance matrices of financial asset returns. The return covariance matrix describes the magnitude in which prices of financial assets tend to change over time, and how price changes between different assets are related. LÄS MER

  4. 3. Modeling the covariance matrix of financial asset returns

    Författare :Gustav Alfelt; Joanna Tyrcha; Taras Bodnar; Vasyl Golosnoy; Stockholms universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Realized covariance; Autoregressive time-series; Goodness-of-fit test; Matrix singularity; Portfolio theory; Wishart distribution; Matrix-variate gamma distribution; Parameter estimation; High-dimensional data; Moore-Penrose inverse; matematisk statistik; Mathematical Statistics;

    Sammanfattning : The covariance matrix of asset returns, which describes the fluctuation of asset prices, plays a crucial role in understanding and predicting financial markets and economic systems. In recent years, the concept of realized covariance measures has become a popular way to accurately estimate return covariance matrices using high-frequency data. LÄS MER

  5. 4. Essays on VIX Futures and Options

    Författare :Bujar Huskaj; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; NIG; Long memory; Futures; FIGARCH; FIAPARCH; Options; Realized volatility; VaR; VIX; Volume;

    Sammanfattning : This thesis consists of three essays on VIX futures and options, and deals with issues highly relevant to all financial markets, such as understanding the operation of markets and developing flexible and tractable pricing models for contracts traded in them. It consists of four chapters. LÄS MER

  7. 5. Essays on Time Series Analysis : With Applications to Financial Econometrics

    Författare :Daniel Preve; Rolf Larsson; Bent Nielsen; Uppsala universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; non-Gaussian time series; nonnegative autoregression; robust estimation; strong convergence; realized volatility; volatility forecast; forecast comparison; Diebold-Mariano test; Statistics; Statistik;

    Sammanfattning : This doctoral thesis is comprised of four papers that all relate to the subject of Time Series Analysis.The first paper of the thesis considers point estimation in a nonnegative, hence non-Gaussian, AR(1) model. The parameter estimation is carried out using a type of extreme value estimators (EVEs). LÄS MER