Search for dissertations about: "financial modeling"

Showing result 1 - 5 of 72 swedish dissertations containing the words financial 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. 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

  5. 3. Learning-by-modeling : Novel Computational Approaches for Exploring the Dynamics of Learning and Self-governance in Social-ecological Systems

    Author : Emilie Lindkvist; Maja Schlüter; Jon Norberg; Örjan Ekeberg; James Dyke; Stockholms universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Complex adaptive systems; Renewable resources; Adaptive management; Small-scale fisheries; Artificial intelligence; Reinforcement learning; Agent-based modeling; agent-baserade modeller; artificiell intelligens; social-ekologiska system; komplexa adaptiva system; förnyelsebara naturresurser; adaptiv förvaltning; Sustainability Science; vetenskap om hållbar utveckling;

    Abstract : As a consequence of global environmental change, sustainable management and governance of natural resources face critical challenges, such as dealing with non-linear dynamics, increased resource variability, and uncertainty. This thesis seeks to address some of these challenges by using simulation models. READ MORE

  6. 4. 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

  7. 5. Essays on Gaussian Probability Laws with Stochastic Means and Variances : With Applications to Financial Economics

    Author : Anders Eriksson; Lars Forsberg; Menelaos Karanasos; Uppsala universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Statistics; Approximating a function of random variables; Skewness Modeling; Skewed GARCH process; Lévy Process; Option pricing; Statistik; Statistics; Statistik;

    Abstract : This work consists of four articles concerning Gaussian probability laws with stochastic means and variances. The first paper introduces a new way of approximating the probability distribution of a function of random variables. This is done with a Gaussian probability law with stochastic mean and variance. READ MORE