Search for dissertations about: "Asymmetric GARCH models"
Showing result 1 - 5 of 6 swedish dissertations containing the words Asymmetric GARCH models.
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1. 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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2. Statistical properties of GARCH processes
Abstract : This dissertation contains five chapters. An introduction and a summary of the research are given in Chapter 1. The other four chapters present theoretical results on the moment structure of GARCH processes. Some chapters also contain empirical examples in order to illustrate applications of the theory. READ MORE
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3. A new non-linear GARCH model
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
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4. Essays on Empirical applications of Real Estate Economics and Finance
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
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5. Copula-based Portfolio Optimization
Abstract : This thesis studies and develops copula-based portfolio optimization. The overall purpose is to clarify the effects of copula modeling for portfolio allocation andsuggest novel approaches for copula-based optimization. The thesis is a compilation of five papers. READ MORE