Search for dissertations about: "Volatility modeling"

Showing result 1 - 5 of 19 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; Term structure of interest rates; Monte Carlo methods; 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 in mathematical finance modeling the futures price

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

    Author : Magnus Blix; Handelshögskolan i Stockholm.; [2004]
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Stochastic volatility; Markovian realizations; State space model; Affine term structure; Hidden Markov model; Hidden Markov model; Options; Commodity markets; Futures markets; SOCIAL SCIENCES Business and economics Economics; SAMHÄLLSVETENSKAP Ekonomi Nationalekonomi;

    Abstract : This thesis consists of four papers dealing with the futures price process.In the first paper, we propose a two-factor futures volatility model designed for the US natural gas market, but applicable to any futures market where volatility decreases with maturity and varies with the seasons. READ MORE

  4. 4. Essays on Realized Volatility and Jumps

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

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

  5. 5. A new non-linear GARCH model

    University dissertation from Stockholm : Economic Research Institute, Stockholm School of Economics [Ekonomiska forskningsinstitutet vid Handelshögsk.] (EFI)

    Author : Gustaf E. Hagerud; Handelshögskolan i Stockholm.; [1997]
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; High frequency data; Volatility; GARCH; Non-linear models; Asymmetry; SOCIAL SCIENCES Business and economics Economics Econometrics; SAMHÄLLSVETENSKAP Ekonomi Nationalekonomi Ekonometri;

    Abstract : This dissertation contains four papers in the field of financial econometrics.In the first paper, A Smooth Transition ARCH Model for Asset Returns, a new class of ARCH models is introduced. The model class allows for non-linearity in the equation for the conditional variance. READ MORE