Search for dissertations about: "VaR"

Showing result 1 - 5 of 3208 swedish dissertations containing the word VaR.

  1. 1. Essays on Financial Risks and Derivatives with Applications to Electricity Markets and Credit Markets

    University dissertation from Department of Economics, Lund Universtiy

    Author : Rikard Green; Lund University.; Lunds universitet.; [2009]
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Markov Chain Monte Carlo; Jump Diffusion Process; Stochastic Volatility; VaR; Electricity Markets; Market Risk; Forward Curve; Credit Risk; Currency Effects;

    Abstract : Contracts traded on international financial and commodity markets are associated with complex risk structures. In this dissertation we are concerned with two specific types of risks; market risks and credit risks. The first chapter investigates market risks in the context of the Nordic electricity market. READ MORE

  2. 2. Essays on VIX Futures and Options

    University dissertation from Department of Economics, Lund Universtiy

    Author : Bujar Huskaj; Lund University.; Lunds universitet.; [2012]
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; NIG; Long memory; Futures; FIGARCH; FIAPARCH; Options; Realized volatility; VaR; VIX; Volume;

    Abstract : This thesis consists of three essays on VIX futures and options, and deals with issues highly relevant to all financial markets, such as understanding the operation of markets and developing flexible and tractable pricing models for contracts traded in them. It consists of four chapters. READ MORE

  3. 3. Model choice in Bayesian VAR models

    University dissertation from Örebro : Örebro university

    Author : Shutong Ding; Örebro universitet.; [2014]
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Statistics; Statistik;

    Abstract : .... READ MORE

  4. 4. VAR Models, Cointegration and Mixed-Frequency Data

    University dissertation from Uppsala : Acta Universitatis Upsaliensis

    Author : Sebastian Ankargren; Uppsala universitet.; [2019]
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; vector error correction; small open economy; mixed-frequency data; Bayesian; steady state; nowcasting; state-space model; large VARs; simulation smoothing; factor stochastic volatility; R; Statistics; Statistik;

    Abstract : This thesis consists of five papers that study two aspects of vector autoregressive (VAR) modeling: cointegration and mixed-frequency data.Paper I develops a method for estimating a cointegrated VAR model under restrictions implied by the economy under study being a small open economy. READ MORE

  5. 5. Essays on Financial Markets and the Macroeconomy

    University dissertation from Stockholm : Department of Economics, Stockholm University

    Author : Jürg Fausch; Stockholms universitet.; [2017]
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Asset pricing; business cycles; DSGE model; macroeconomic risk; monetary policy shocks; recursive preferences; stock market; VAR model; variance decomposition; Economics; nationalekonomi;

    Abstract : Asset pricing implications of a DSGE model with recursive preferences and nominal rigidities. I study jointly macroeconomic dynamics and asset prices implied by a production economy featuring nominal price rigidities and Epstein-Zin (1989) preferences. READ MORE