Search for dissertations about: "S. Hou"

Found 1 swedish dissertation containing the words S. Hou.

2. 1. 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