Search for dissertations about: "Volatility"

Showing result 1 - 5 of 161 swedish dissertations containing the word Volatility.

  1. 1. Essays on stochastic volatility

    University dissertation from Lund University

    Author : Marcus Nossman; Lunds universitet.; Lund University.; [2009]
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; volatility; Contagion; jumps; risk premium; MCMC;

    Abstract : Popular Abstract in Swedish Avhandlingen består av fem stycken artiklar som analyserar och estimerar finansiella prisprocesser. Alla artiklarna handlar också om stokastiska volatilitetsprocesser som estimeras med Bayesiansk statistik och Markov Chain Monte Carlo (MCMC) metoder. READ MORE

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

    University dissertation from Department of Economics, Lund Universtiy

    Author : Peter Hördahl; Lunds universitet.; Lund University.; [1997]
    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

  3. 3. Modeling financial volatility A functional approach with applications to Swedish limit order book data

    University dissertation from Umeå

    Author : Suad Elezovic; Umeå universitet.; [2009]
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Financial data; functional time series; multivariate generalized least squares; seemingly unrelated autoregression; SOCIAL SCIENCES Statistics; computer and systems science; SAMHÄLLSVETENSKAP 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. 4. Essays on Financial Market Volatility

    University dissertation from Umeå

    Author : Ai Jun HOU; Lunds universitet.; Lund University.; [2011]
    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

  5. 5. Essays on Realized Volatility and Jumps

    University dissertation from Umeå

    Author : Marcus Larsson; Lunds universitet.; Lund University.; [2008]
    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