Search for dissertations about: "asset-pricing models"

Showing result 1 - 5 of 14 swedish dissertations containing the words asset-pricing models.

2. 1. Evaluating Asset-Pricing Models in International Financial Markets

   Author : Fadi Zaher; Högskolan i Skövde; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; financial science; economic policy; economic theory; economic systems; econometrics; Hansen-Jagannathan boundsequity premium puzzle; Forecasting methods; asset-pricing models; Economics; bootstrap; short-sales constraint; ekonomisk politik; finansiering; ekonomiska system; nationalekonomi; ekonometri; Hansen-Jagannathan bounds; ekonomisk teori; Business and economics; Ekonomi; Humanities and Social sciences; Humaniora-samhällsvetenskap; ekonomisk politik; Financial science; Finansiering; ekonomiska system; economic policy; Nationalekonomi; ekonometri; economic theory; economic systems; econometrics; Hansen-Jagannathan bounds; equity premium puzzle; Forecasting methods; asset-pricing models; ekonomisk teori; Economics; bootstrap.; short-sales constraint;

   Abstract : This thesis consists of three empirical studies on asset-prices in international financial markets. The purpose is three-fold. First, to evaluate whether good predictions of economic variables may be obtained by pooling information from a broad group of financial variables. READ MORE

4. 2. Essays in empirical asset pricing

   Author : Johan Parmler; Handelshögskolan i Stockholm; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

   Abstract : Capital Asset Pricing Model (CAPM) is the most widely used model in asset pricing. This model evaluates the asset return in relation to the market return and the sensitivity of the security to the market. However, the evidence supporting the CAPM is mixed. READ MORE

5. 3. Asset Pricing Models with Stochastic Volatility

   Author : Jean-Paul Murara; Sergei Silvestrov; George Fodor; Mälardalens högskola; []
   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

6. 4. International Asset Pricing, Diversification and Links between National Stock Markets

   Author : Birger Nilsson; Nationalekonomiska institutionen; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Financial science; Finansiering; economic systems; economic theory; Economics; econometrics; Simulated Annealing; Capital Market Liberalization; International Asset Pricing; Diversification;

   Abstract : This thesis consists of three self-contained empirical studies on international financial economics. The common economic theme is that all three studies deal with international stock market return and risk. READ MORE

7. 5. Essays on Financial Markets and the Macroeconomy

   Author : Jürg Fausch; Roine Vestman; John Hassler; Ilan Cooper; Stockholms universitet; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Asset pricing; business cycles; DSGE model; macroeconomic risk; monetary policy shocks; recursive preferences; stock market; VAR model; variance decomposition; Economics; nationalekonomi;

   Abstract : Asset pricing implications of a DSGE model with recursive preferences and nominal rigidities. I study jointly macroeconomic dynamics and asset prices implied by a production economy featuring nominal price rigidities and Epstein-Zin (1989) preferences. READ MORE