Search for dissertations about: "GARCH models"
Showing result 1 - 5 of 38 swedish dissertations containing the words GARCH models.
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1. Essays on Financial Models
Abstract : This thesis consists of five essays exploring the validity of some extensively used financial models with a focus on the Swedish equity and derivative markets. The essays are of both an empirical and a theoretical nature. READ MORE
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2. Time Varying Parameters in Exchange Rate Models
Abstract : This thesis consists of five papers on different aspects of parametervariation in some common exchange rate models.The first paper investigates the stability in the real exchange rate, witch is equivalent to purchasing power parity (PPP). READ MORE
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3. Essays on random effects models and GARCH
Abstract : This thesis consists of four essays, three in the field of random effects models and one in the field of GARCH. The first essay in this thesis, ''Maximum likelihood based inference in the two-way random effects model with serially correlated time effects'', considers maximum likelihood estimation and inference in the two-way random effects model with serial correlation. READ MORE
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4. Four Essays on Building Conditional Correlation GARCH Models
Abstract : This thesis consists of four research papers. The main focus is on building the multivariate Conditional Correlation (CC-) GARCH models. In particular, emphasis lies on considering an extension of CC-GARCH models that allow for interactions or causality in conditional variances. READ MORE
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5. Financial Volatility and Time-Varying Risk Premia
Abstract : 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. READ MORE