Search for dissertations about: "Interest rate volatility"

Showing result 1 - 5 of 16 swedish dissertations containing the words Interest rate volatility.

  1. 1. 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

  2. 2. Essays on Financial Market Volatility

    University dissertation from Department of Economics, Lund Universtiy

    Author : Ai Jun HOU; Lunds universitet.; Lund University.; [2011]
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Nonparametric GARCH model; News Impact Curve; Interest rate volatility; MCMC; Markov Switching; Chinese stock markets; EMU stock markets;

    Abstract : This thesis examines the volatility in the equity and short-term interest-rate markets, and the spillover from the short term interest rate market to the equity market. It consists of three papers and focuses on adapting and proposing models for the estimation and forecasting of financial market volatility. READ MORE

  3. 3. 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

  4. 4. Macroeconomic Uncertainty and Exchange Rate Policy

    University dissertation from Uppsala : Acta Universitatis Upsaliensis

    Author : Erik Post; Uppsala universitet.; [2007]
    Keywords : Social sciences; SAMHÄLLSVETENSKAP;

    Abstract : Essay 1 (with Annika Alexius) uses a structural VAR model to study the role of floating exchange rates for five "small open economies" with inflation targets. We show that only in Sweden and Canada does the nominal exchange rate behave in a stabilizing way. Most exchange rate movements are responses to non-fundamental shocks. READ MORE

  5. 5. Expectations, Uncertainty, and Monetary Policy

    University dissertation from Uppsala : Nationalekonomiska institutionen

    Author : David Kjellberg; Uppsala universitet.; [2007]
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Monetary Policy; Expectations; Uncertainty; Uncovered Interest Parity; Interest Rates; SOCIAL SCIENCES Business and economics Economics; SAMHÄLLSVETENSKAP Ekonomi Nationalekonomi;

    Abstract : Essay 1 - To evaluate measures of expectations I examine and compare some of the most common methods for capturing expectations: the futures method which utilizes financial market prices, the VAR forecast method, and the survey method. I study average expectations on the Federal funds rate target, and the main findings can be summarized as follows: i) the survey measure and the futures measure are highly correlated; the correlation coefficient is 0. READ MORE