Search for dissertations about: "Volatility modeling"

Showing result 1 - 5 of 14 swedish dissertations containing the words Volatility modeling.

  1. 1. Modeling financial volatility A functional approach with applications to Swedish limit order book data

    University dissertation from Umeå

    Author : Suad Elezovic; Umeå universitet.; [2009]
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Financial data; functional time series; multivariate generalized least squares; seemingly unrelated autoregression; SOCIAL SCIENCES Statistics; computer and systems science; SAMHÄLLSVETENSKAP Statistik; data- och systemvetenskap; Econometrics; ekonometri;

    Abstract : This thesis is designed to offer an approach to modeling volatility in the Swedish limit order market. Realized quadratic variation is used as an estimator of the integrated variance, which is a measure of the variability of a stochastic process in continuous time. READ MORE

  2. 2. Financial Volatility and Time-Varying Risk Premia

    University dissertation from Department of Economics, Lund Universtiy

    Author : Peter Hördahl; Lunds universitet.; Lund University.; [1997]
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Monte Carlo methods; Term structure of interest rates; Asymmetric variance; Time-varying risk premia; Volatility forecasting; CAPM; Conditional asset pricing models; Stochastic volatility; Volatility modeling; GARCH; Bond option pricing; Financial science; Finansiering;

    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

  3. 3. Essays on Realized Volatility and Jumps

    University dissertation from Department of Economics, Lund Universtiy

    Author : Marcus Larsson; Lunds universitet.; Lund University.; [2008]
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Jumps; Bi-power variation; High frequency data; Realized volatility;

    Abstract : 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. READ MORE

  4. 4. Asset Pricing Models with Stochastic Volatility

    University dissertation from Västerås : Mälardalen University

    Author : Jean-Paul Murara; Mälardalens högskola.; [2016]
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Mathematics Applied Mathematics; matematik tillämpad matematik;

    Abstract : 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. READ MORE

  5. 5. Risk-Neutral and Physical Estimation of Equity Market Volatility

    University dissertation from Linköping : Linköping University Electronic Press

    Author : Mathias Barkhagen; Linköpings universitet.; Linköpings universitet.; [2013]

    Abstract : The overall purpose of the PhD project is to develop a framework for making optimal decisions on the equity derivatives markets. Making optimal decisions refers e.g. to how to optimally hedge an options portfolio or how to make optimal investments on the equity derivatives markets. READ MORE