Search for dissertations about: "VaR"

Showing result 1 - 5 of 3132 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; Lunds universitet.; Lund University.; [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 : Popular Abstract in Swedish Kontrakt som handlas på de internationella finans- och råvarumarknaderna är förenade med komplexa riskstrukturer. Denna avhandling behandlar två specifika typer av risk; marknadsrisk och kreditrisk. Det första kapitlet i avhandlingen undersöker marknadsrisker på den Nordiska elmarknaden. READ MORE

  2. 2. Essays on VIX Futures and Options

    University dissertation from Department of Economics, Lund Universtiy

    Author : Bujar Huskaj; Lunds universitet.; Lund University.; [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. Vad var det vi sa! : om kriminellt och konformt beteende bland skolpojkar = [On delinquency and conformity among schoolboys]

    University dissertation from Stockholm : Utbildningsförl

    Author : Birgitta Olofsson; Stockholms universitet.; [1971]
    Keywords : ;

    Abstract : .... READ MORE

  4. 4. 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

  5. 5. 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