Search for dissertations about: "risk premia"

Showing result 1 - 5 of 12 swedish dissertations containing the words risk premia.

  2. 1. 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

  4. 2. Risk Factors and their Bootstraps: Hidden Risks and How to Capture the Risk-premia

    Author : Andreas Johansson; Handelshögskolan i Stockholm; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES;

    Abstract : .... READ MORE

  5. 3. Essays on Risks in Investment Strategies

    Author : Ian Khrashchevskyi; Ai Jun Hou; Jarkko Peltomäki; Mika Vaihekoski; Stockholms universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; investment strategies; risk; hedging; diversification; derivatives; safe haven; investor behavior; financial education; företagsekonomi; Business Administration;

    Abstract : This dissertation contains three articles, which investigate different types of risks investors encounter during the investment process.Article I investigates the relation between macroeconomic risk and higher-moment moment risk premia. READ MORE

  6. 4. Essays on Sovereign Credit Risk and Credit Default Swap Spreads

    Author : Patrick Augustin; Handelshögskolan i Stockholm; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Abstract : This doctoral thesis consists of 4 self-contained chapters: Sovereign Credit Default Swap Premia. This comprehensive review of the literature on sovereign CDS spreads highlights current academic debates and contrasts them with contradictory statements from the popular press.  Real Economic Shocks and Sovereign Credit Risk. READ MORE

  7. 5. Essays on Financial Markets and the Macroeconomy

    Author : Jürg Fausch; Roine Vestman; John Hassler; Ilan Cooper; Stockholms universitet; []
    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