Search for dissertations about: "Dissertation on stock volatility"

Showing result 1 - 5 of 10 swedish dissertations containing the words Dissertation on stock 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. Essays on Market Design and Market Quality

   Author : Dong Zhang; Lars Nordén; Björn Hagströmer; Dagfinn Rime; Stockholms universitet; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; index futures market; underlying stock market; liquidity; volatility; gold futures market; price discovery; high frequency traders; aggressiveness; order submission; liquidity provider; adverse selection cost; företagsekonomi; Business Administration;

   Abstract : This dissertation contains four studies on different market structures and their impact on market quality.Article I studies the effect of introducing stock index futures contracts on the underlying stocks. The results indicate a lower liquidity level in the underlying stocks. READ MORE

5. 3. Essays on currency markets

   Author : Duc-Hoang Hoang; Nationalekonomiska institutionen; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; currency market; central bank communication; sentiment; carry trade; momentum;

   Abstract : This doctoral dissertation comprises three independent essays which cover different aspects of the currency market.The first paper, Long-run and short-run risk premium in currency market, investigates the risk premium of the long-run and short-run volatility component of exchange rate returns in the currency market. READ MORE

6. 4. Essays on Corporate Growth and Corporate Credit Risk

   Author : Mehmet Caglar Kaya; Nationalekonomiska institutionen; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Gazelle Growth; Entrepreneurship; Acquisition; Competition; Venture Capital Finance; Policy; Credit Risk; Credit Default Swap; CDS Spread; Stock Illiquidity; Information Asymmetry; Market Interconnectedness; Capital Structure; Leverage; Credit Ratings; Accounting;

   Abstract : This doctoral dissertation contributes to research on financial economics. It consists of an overall introduction and three independent papers. The first paper, “A Theory of Gazelle Growth: Competition, Venture Capital Finance, and Policy,” examines how young fast-growing small firms, called gazelles, develop. READ MORE

7. 5. Essays on Information Transmission and Crisis Spillover in the Financial Markets

   Author : Dinh-Vinh Vo; Nationalekonomiska institutionen; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Central bank communication; ECB; exchange rates; sentiment; LDA; textual analysis; cross-section of stock returns; news-implied volatility; financial contagion; interdependence; global banking system;

   Abstract : This doctoral dissertation comprises three independent essays on information transmission and crisis spillover in the financial markets. The research questions are examined in the context of the foreign exchange market, the stock market and the global banking system. READ MORE