Search for dissertations about: "Market volatility"

Showing result 1 - 5 of 114 swedish dissertations containing the words Market volatility.

  2. 1. Market liberalization and market integration : Essays on the Nordic electricity market

    Author : Jens Lundgren; Runar Brännlund; Niklas Rudholm; Jörgen Hellström; Robert Lundmark; Umeå universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Consumer welfare; Electricity price; Market integration; Market power; Price jump; nationalekonomi; Economics;

    Abstract : This thesis consists of four self-contained papers related to the Nordic electricity market.Paper [I] examine how the reform of the Nordic electricity markets has affected competition in the electric power supply market, Nord Pool. 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 systemic risk and financial market volatility

    Author : Dominika Krygier; Nationalekonomiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; systemic risk; Volatility; Volatility forecasting; Bitcoin; implicit guarantees; Financial stability; Leverage; Value-at-Risk; CoVaR; networks; Centrality; interconnectedness; Financial crisis; Stock market; Banks; Financial Markets;

    Abstract : This doctoral thesis consists of four independent research papers. All papers are empirical and cover the area of financial market risk, with a particular focus on systemic risk and volatility in financial markets. READ MORE

  6. 4. Essays on Financial Market Volatility

    Author : Ai Jun HOU; Nationalekonomiska institutionen; []
    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

  7. 5. 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