Search for dissertations about: "Asymmetric variance"
Showing result 1 - 5 of 15 swedish dissertations containing the words Asymmetric variance.
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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. Plasma environment of an intermediately active comet : Evolution and dynamics observed by ESA's Rosetta spacecraft at 67P/Churyumov-Gerasimenko
Abstract : The subject of this thesis is the evolution and dynamics of the plasma environment of a moderately active comet before, during and after its closest approach to the Sun. For over 2 years in 2014-2016, the European Space Agency’s Rosetta spacecraft followed the comet 67P/Churyumov-Gerasimenko at distances typically between a few tens and a few hundred kilometers from the nucleus, the longest and closest inspection of a comet ever made. READ MORE
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3. Some Contributions to Filtering, Modeling and Forecasting of Heteroscedastic Time Series
Abstract : Heteroscedasticity (or time-dependent volatility) in economic and financial time series has been recognized for decades. Still, heteroscedasticity is surprisingly often neglected by practitioners and researchers. This may lead to inefficient procedures. READ MORE
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4. 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
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5. 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