Search for dissertations about: "Volatility"
Showing result 1 - 5 of 249 swedish dissertations containing the word Volatility.
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1. Essays on stochastic volatility
Abstract : This dissertation consists of five papers concerned with the estimation and analysis of financial price processes. The first paper develops a stock price model and analyzes the impact of the US and the regional European stock markets on the local European countries’ stock markets. READ MORE
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2. 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
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3. Essays on systemic risk and financial market volatility
Abstract : This doctoral thesis consists of four independent research papers. All papers are empirical and cover the area of financial market risk, with a particular focus on systemic risk and volatility in financial markets. READ MORE
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4. Modeling financial volatility : A functional approach with applications to Swedish limit order book data
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
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5. Essays on Financial Market Volatility
Abstract : This thesis examines the volatility in the equity and short-term interest-rate markets, and the spillover from the short term interest rate market to the equity market. It consists of three papers and focuses on adapting and proposing models for the estimation and forecasting of financial market volatility. READ MORE