Search for dissertations about: "GARCH"
Showing result 6 - 10 of 54 swedish dissertations containing the word GARCH.
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6. Essays in Financial Economics
Abstract : Chapter 1 develops a framework to investigate the impact of the financial crisis starting in 2007 and employs an extended GARCH model to test for spillover and contagion effects originating from the financial sector. We find that the financial crisis affects financially distressed firms more heavily than non-distressed firms. READ MORE
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7. Essays on Financial Models
Abstract : This thesis consists of five essays exploring the validity of some extensively used financial models with a focus on the Swedish equity and derivative markets. The essays are of both an empirical and a theoretical nature. READ MORE
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8. Time Varying Parameters in Exchange Rate Models
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
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9. Essays on Financial Risks and the Subprime Crisis
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
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10. On Risk Prediction
Abstract : This thesis comprises four papers concerning risk prediction. Paper [I] suggests a nonlinear and multivariate time series model framework that enables the study of simultaneity in returns and in volatilities, as well as asymmetric effects arising from shocks. READ MORE