Search for dissertations about: "volatility"

Showing result 1 - 5 of 249 swedish dissertations containing the word volatility.

  2. 1. Essays on stochastic volatility

    Author : Marcus Nossman; Nationalekonomiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; volatility; Contagion; jumps; risk premium; MCMC;

    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

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

    Author : Peter Hördahl; Nationalekonomiska institutionen; []
    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

  5. 3. Essays on systemic risk and financial market volatility

    Author : Dominika Krygier; Nationalekonomiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; systemic risk; Volatility; Volatility forecasting; Bitcoin; implicit guarantees; Financial stability; Leverage; Value-at-Risk; CoVaR; networks; Centrality; interconnectedness; Financial crisis; Stock market; Banks; Financial Markets;

    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

  6. 4. Modeling financial volatility : A functional approach with applications to Swedish limit order book data

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

    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

  7. 5. Essays on Financial Market Volatility

    Author : Ai Jun HOU; Nationalekonomiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Nonparametric GARCH model; News Impact Curve; Interest rate volatility; MCMC; Markov Switching; Chinese stock markets; EMU stock markets;

    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