Search for dissertations about: "VaR"

Showing result 1 - 5 of 2645 swedish dissertations containing the word VaR.

  1. 1. Essays on Financial Risks and Derivatives with Applications to Electricity Markets and Credit Markets

    University dissertation from Department of Economics, Lund Universtiy

    Author : Rikard Green; Lunds universitet.; Lund University.; [2009]
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Jump Diffusion Process; Markov Chain Monte Carlo; Stochastic Volatility; VaR; Electricity Markets; Market Risk; Forward Curve; Credit Risk; Currency Effects;

    Abstract : Contracts traded on international financial and commodity markets are associated with complex risk structures. In this dissertation we are concerned with two specific types of risks; market risks and credit risks. The first chapter investigates market risks in the context of the Nordic electricity market. READ MORE

  2. 2. Essays on VIX Futures and Options

    University dissertation from Department of Economics, Lund Universtiy

    Author : Bujar Huskaj; Lunds universitet.; Lund University.; [2012]
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Long memory; NIG; Futures; FIGARCH; FIAPARCH; Options; Realized volatility; VaR; VIX; Volume;

    Abstract : 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. READ MORE

  3. 3. Essays in monetary economics and applied econometrics

    University dissertation from Stockholm : Economic Research Institute, Stockholm School of Economics (Ekonomiska forskningsinstitutet vid Handelshögskolan) (EFI)

    Author : Paolo Giordani; Handelshögskolan i Stockholm.; [2001]
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Monetary policy; Price puzzle; VAR; Model misspecification; Money; Forecast uncertainty; Survey data; Delegation; Penningpolitik; SOCIAL SCIENCES Business and economics Economics; SAMHÄLLSVETENSKAP Ekonomi Nationalekonomi;

    Abstract : This dissertation collects five independent essays.The first essay is An Alternative Explanation of the Price Puzzle. The most widely accepted explanation of the price puzzle points to an inadequate performance of the VAR in forecasting inflation. READ MORE

  4. 4. Model choice in Bayesian VAR models

    University dissertation from Örebro : Örebro university

    Author : Shutong Ding; Örebro universitet.; [2014]
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Statistik; Statistics;

    Abstract : .... READ MORE

  5. 5. Toward Sequential Data Assimilation for NWP Models Using Kalman Filter Tools

    University dissertation from Stockholm : Department of Mathematics, Stockholm University

    Author : Jelena Bojarova; Stockholms universitet.; [2010]
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; non-Gaussian state space models; Kalman filtering; ETKF; 3D-Var; data assimilation; NWP; MATHEMATICS Applied mathematics Mathematical statistics; MATEMATIK Tillämpad matematik Matematisk statistik; matematisk statistik; Mathematical Statistics;

    Abstract : The aim of the meteorological data assimilation is to provide an initial field for Numerical Weather Prediction (NWP) and to sequentially update the knowledge about it using available observations. Kalman filtering is a robust technique for the sequential estimation of the unobservable model state based on the linear regression concept. READ MORE