Search for dissertations about: "extreme downside risk"

Found 2 swedish dissertations containing the words extreme downside risk.

2. 1. Essays on Financial Market Interdependence

   Author : Lu Liu; Nationalekonomiska institutionen; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Stock markets; commodity futures; extreme downside risk; regime-switching; correlations; diversification; market linkages; heterogeneity; EMU stock markets; dynamic panel data;

   Abstract : This thesis aims at investigating the risk spillover and correlations among national stock markets, and the structure of dependence between stocks and commodity futures. It consists of four chapters. Chapter 1 briefly reviews the literature background of financial market interdependence and summarizes the contribution of the thesis. READ MORE

4. 2. Essays on Empirical applications of Real Estate Economics and Finance

   Author : Mo Zheng; Han-Suck Song; Mats Wilhelmsson; Fredrik Armerin; Shahiduzzaman Quoreshi; KTH; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Real Estate Economics and Finance; Hedonic regression; Spatial econometrics; Residential market; Housing index; GARCH; Volatility forecasting; COVID-19; Value-at-Risk; Extreme Value Theory; Fastighetsekonomi och finans; Hedonisk regression; Spatial ekonometri; Bostadsmarknad; Bostadsindex; GARCH; Volatilitetsprognoser; COVID-19; Value-at-Risk; Extreme Value Theory; Fastigheter och byggande; Real Estate and Construction Management;

   Abstract : This doctoral thesis is a collection of four essays that utilize cross-sectional and time-series econometric methods in real estate economics and finance. The first two essays apply econometric modeling to the residential market focusing on hedonic regression analysis, while the other two essays apply financial econometric modeling on an index of listed real estate stocks, and house price index indices. READ MORE