Search for dissertations about: "GARCH models"

Showing result 1 - 5 of 23 swedish dissertations containing the words GARCH models.

  1. 1. Essays on Financial Models

    University dissertation from Department of Economics, Lund Universtiy

    Author : Henrik Amilon; Lunds universitet.; Lund University.; [2000]
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; options; neural networks; hedging; portfolio optimization; econometrics; Economics; ekonomisk teori; ekonomiska system; ekonomisk politik; ekonometri; generalized residuals; discreteness; GARCH; compass rose; nonlinearities; Chaos; economic theory; economic systems; Nationalekonomi; economic policy;

    Abstract : Popular Abstract in Swedish Alla finansiella modeller bygger på antaganden, approximationer och förenklingar. Syftet med avhandlingen är att undersöka giltigheten och rimligheten i ett antal välkända och populära finansiella och ekonometriska modeller, med en tonvikt på de svenska aktie- och optionsmarknaderna. READ MORE

  2. 2. Time Varying Parameters in Exchange Rate Models

    University dissertation from Department of Economics, Lund Universtiy

    Author : Richard Henricsson; Lunds universitet.; Lund University.; [1997]
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; economic systems; economic theory; econometrics; Economics; stochastich volatility.; purchasing power parity; GARCH; exchange rates; Stationarity; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik;

    Abstract : This thesis consists of five papers on different aspects of parametervariation in some common exchange rate models.The first paper investigates the stability in the real exchange rate, witch is equivalent to purchasing power parity (PPP). READ MORE

  3. 3. Financial Volatility and Time-Varying Risk Premia

    University dissertation from Department of Economics, Lund Universtiy

    Author : Peter Hördahl; Lunds universitet.; Lund University.; [1997]
    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

  4. 4. Essays on Financial Markets

    University dissertation from Department of Economics, Lund Universtiy

    Author : Hans Byström; Lunds universitet.; Lund University.; [2000]
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Electricity Futures; Option Pricing; Compass Rose; Covariance Matrix; Chaos; Stochastic Volatility; Financial Markets; GARCH; Financial science; Finansiering;

    Abstract : Popular Abstract in Swedish Denna avhandling innehåller fem essäer behandlande ett antal olika frågor inom området empirisk finansiell ekonomi. Genom användandet av kvantitativa metoder är syftet att studera praktiskt relevanta problem relaterade till hur finansiella marknader fungerar. READ MORE

  5. 5. Essays on Financial Risks and the Subprime Crisis

    University dissertation from Department of Economics, Lund Universtiy

    Author : Emanuel Alfranseder; Lunds universitet.; Lund University.; [2015]
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; GARCH; Spillover; Contagion; Financial Distress; Financial Constraints; Financial Crisis; Equity Premium; Doubt; Pessimism; R D; Investment; Capital Structure; Bankruptcy Risk;

    Abstract : This thesis covers the impact of the financial crisis of 2007-2009, the non-linearity in the impact of bankruptcy risk on leverage and the effect of pessimism and doubt on the equity premium. It consists of four self-contained essays. READ MORE