Search for dissertations about: "Volatility modeling"

Showing result 1 - 5 of 31 swedish dissertations containing the words Volatility modeling.

  2. 1. Modeling financial volatility : A functional approach with applications to Swedish limit order book data

    Author : Suad Elezovic; Xavier de Luna; Gunnar Rosenqvist; Umeå universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Financial data; functional time series; multivariate generalized least squares; seemingly unrelated autoregression; Statistics; computer and systems science; Statistik; data- och systemvetenskap; ekonometri; Econometrics;

    Abstract : This thesis is designed to offer an approach to modeling volatility in the Swedish limit order market. Realized quadratic variation is used as an estimator of the integrated variance, which is a measure of the variability of a stochastic process in continuous time. READ MORE

  4. 2. Financial Volatility and Time-Varying Risk Premia

    Author : Peter Hördahl; Nationalekonomiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Monte Carlo methods; Term structure of interest rates; Asymmetric variance; Time-varying risk premia; Volatility forecasting; CAPM; Conditional asset pricing models; Stochastic volatility; Volatility modeling; GARCH; Bond option pricing; Financial science; Finansiering;

    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

  5. 3. Empirical Studies on Economic and Financial Spillovers : Asymmetric Risk and Dependence Modeling

    Author : Axel Hedström; Gazi Salah Uddin; Ali M. Ahmed; Ugur Soytas; Linköpings universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Spillovers; systemic risk; risk modeling; risk dependence; asymmetric risk; energy finance; Spillovers; systemisk risk; riskmodellering; risk påverkan; asymmetrisk risk; energifinans;

    Abstract : Financial assets are volatile, and volatility becomes more intense in terms of size and rate of recurrence when markets are uncertain and growing rapidly. The fact that the recurrence rate increased during crisis periods, such as the IT bubble in the early 2000 and the global financial crisis that started in 2007, is a key finding in the literature. READ MORE

  6. 4. Essays on Realized Volatility and Jumps

    Author : Marcus Larsson; Nationalekonomiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Jumps; Bi-power variation; High frequency data; Realized volatility;

    Abstract : Financial markets sometimes generate significant discontinuities, so called jumps, triggered by large informational shocks and extreme events. In the last decade, there is an increasing interest in financial economics towards modeling these jumps which may have significant consequences for risk management, and portfolio allocation. READ MORE

  7. 5. Hybrid Solvents based on Ionic Liquids/Deep Eutectic Solvents for CO2 Separation : Experiments, Modeling, Process Simulation and Evaluation

    Author : Chunyan Ma; Xiaoyan Ji; Päivi Mäki-Arvela; Luleå tekniska universitet; []
    Keywords : TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; CO2 separation; Ionic liquids; Deep eutectic solvents; Cosolvent; Thermodynamic modeling; Process simulation and evaluation; Energiteknik; Energy Engineering;

    Abstract : CO2 separation plays a vital role in reducing CO2 emissions to combat climate change, in which solvent-based absorption is widely considered the most promising technology. Many conventional chemical and physical solvents have been introduced for CO2 separation, still facing challenges. READ MORE