Search for dissertations about: "OMX-index"
Showing result 1 - 5 of 6 swedish dissertations containing the word OMX-index.
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1. Essays on market microstructure : empirical evidence from some Nordic exchanges
Abstract : This dissertation consists of five separate and self-contained essays. They have been written as distinct papers. Although there is a fair amount of overlap and cross-reference in analysis and discussion, the intention is that potential readers should be able to read them separately. READ MORE
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2. Option Pricing and Bayesian Learning
Abstract : This thesis consists of three chapters devoted to both empirical and theoretical aspects of option pricing. The first chapter investigates the market for European options on the Swedish OMX index using daily data for the period 1993-2000. READ MORE
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3. Essays on univariate long memory models
Abstract : This thesis consists of five papers dealing with univariate long memory modelsin time series analysis.The first paper examines the performance of information criteria when usedto determine the lag order of a long memory process. The results indicate thatinformation criteria cannot be used successfully for small sample sizes. READ MORE
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4. Financial Volatility and Time-Varying Risk Premia
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
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5. Essays on Financial Markets
Abstract : This thesis consists of five empirical essays dealing with different issues related to financial markets. Chapter 2 studies a new multivariate technique, Orthogonal GARCH, of forecasting large covariance matrices based on GARCH models. READ MORE