Dissertations / Theses on the topic 'Volatility'
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Hrbek, Filip. "Metody předvídání volatility." Master's thesis, Vysoká škola ekonomická v Praze, 2015. http://www.nusl.cz/ntk/nusl-264689.
Full textStolbov, Anatoly. "Volatility Smile and Delta Hedging." Master's thesis, Vysoká škola ekonomická v Praze, 2014. http://www.nusl.cz/ntk/nusl-206214.
Full textGaliotos, Vassilis. "Stochastic Volatility and the Volatility Smile." Thesis, Uppsala University, Department of Mathematics, 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-120151.
Full textMarklund, Joakim, and Olle Karlsson. "Volatility Derivatives – Variance and Volatility Swaps." Thesis, Uppsala universitet, Analys och sannolikhetsteori, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-254657.
Full textGříšek, Lukáš. "Cena volatility finančních proměnných." Master's thesis, Vysoká škola ekonomická v Praze, 2011. http://www.nusl.cz/ntk/nusl-113803.
Full textRossi, Luca. "Essays on volatility networks and uncertainty." Doctoral thesis, Universitat Pompeu Fabra, 2018. http://hdl.handle.net/10803/565613.
Full textAquesta tesi investiga empíricament diferents aspectes de la volatilitat variable. El Capítol 1 estima un TVP-FAVAR i recupera una xarxa de connexions dinàmiques entre les volatilitats de accions europees. Proposem una metodologia d’estimació ad-hoc que es demostri que supera els enfocaments estàndard i els models competidors. El Capítol 2 es centra en el seguiment de la connectivitat dinàmica entre les volatilitats sectorials dels Estats Units mitjançant descomposicions generalitzadas de variància d’errors de previsió amb un model Bayesià. A diferència de les estimacions obtingudes amb finestres enrotllables, permetem que els paràmetres variïn de manera més flexible. Mostrem que existeix una relació estable entre l’estructura de la xarxa i els règims de volatilitat vigents en un moment determinat. El Capítol 3 estima el component variable inesperat de la volatilitat dels pressupostos fiscals a Itàlia. Mostrem que els períodes de major volatilitat fiscal inesperada probablement són recessius. Les polítiques expansives només són efectives quan no s’acompanyen d’increments d’incertesa.
Švehla, Pavel. "Analýza volatility akciových indexů na evropských burzách." Master's thesis, Vysoká škola ekonomická v Praze, 2011. http://www.nusl.cz/ntk/nusl-81856.
Full textWayne, David Hadyn. "Incomplete markets, volatility smiles and volatility trading." Thesis, Imperial College London, 2000. http://hdl.handle.net/10044/1/11267.
Full textLopes, Rita Isabel Dória Gameiro. "Volatility derivatives and volatility indexes : an overview." Master's thesis, Instituto Superior de Economia e Gestão, 2014. http://hdl.handle.net/10400.5/9048.
Full textNas últimas décadas, os derivados financeiros têm-se revestido de grande importância, como se deduz facilmente do facto de o número de transações nos mercados financeiros envolvendo este tipo de instrumentos apresentar grande crescimento. De entre a grande variedade de derivados, destaca-se, para efeitos deste trabalho, uma classe particular, a classe dos derivados sobre volatilidade, que têm sido objeto de estudo na última década, talvez devido ao papel relativamente significativo que vêm assumindo a nível dos principais mercados. Intimamente ligados aos derivados sobre volatilidade estão os índices sobre volatilidade, também aqui objeto de análise. O presente estudo consiste essencialmente na revisão possível, dadas as restrições de espaço, da vasta literatura que já existe sobre o tema, o que se procurará fazer ao longo de todo o texto. Adicionalmente, procurará levar-se a cabo uma pesquisa do impacte da última crise financeira e económica no volume de negócios com derivados sobre volatilidade, para o que se selecionará um particular tipo de produtos. Do levantamento realizado sobre os tópicos em questão, pareceu poder concluir-se que estes não suscitaram antes o interesse de estudiosos portugueses. Nesse sentido, será então este o primeiro contributo, ainda que modesto, para preencher a lacuna.
During the last few decades, financial derivatives became extremely important, a conclusion easily derived from the fact that the number of transactions involving such instruments has greatly increased in financial markets. A specific type of these products consists of the so-called volatility derivatives, which have been quite studied during the last few years and are now of great significance, having experienced a growing role in the world financial markets. Closely related to volatility derivatives are the volatility indexes. This study is based mostly on a review of the literature on the subject of volatility derivatives and volatility indexes, which is presented all over the text. Additionally, an attempt is made to analyze the impact of the current economic and financial crises on volatility derivatives trading, specifically in reference to certain particular futures. To the best knowledge of the author the topic of volatility futures has not been addressed before in the Masters in Finance context; this thesis is, in that sense, a first (very small) contribution to fill the gap.
Varga, Lukáš. "Effect of Implied Volatility on FX Carry Trade." Master's thesis, Vysoká škola ekonomická v Praze, 2011. http://www.nusl.cz/ntk/nusl-113592.
Full textYe, Hui. "A Comparison of Local Volatility and Implied Volatility." Thesis, Uppsala universitet, Analys och tillämpad matematik, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-154745.
Full textJayaraman, Sudarshan Abarbanell Jeffery. "Earnings volatility, cash flow volatility and informed trading." Chapel Hill, N.C. : University of North Carolina at Chapel Hill, 2007. http://dc.lib.unc.edu/u?/etd,1119.
Full textTitle from electronic title page (viewed Mar. 27, 2008). "... in partial fulfillment of the requirements for the degree of Doctor of Philosophy at the Kenan-Flagler Business School." Discipline: Business Administration; Department/School: Business School, Kenan-Flagler.
Du, Toit Cornel. "Non-parametric volatility measurements and volatility forecasting models." Thesis, Stellenbosch : Stellenbosch University, 2005. http://hdl.handle.net/10019.1/50401.
Full textENGLISH ABSTRACT: Volatilty was originally seen to be constant and deterministic, but it was later realised that return series are non-stationary. Owing to this non-stationarity nature of returns, there were no reliable ex-post volatility measurements. Subsequently, researchers focussed on ex-ante volatility models. It was only then realised that before good volatility models can be created, reliable ex-post volatility measuremetns need to be defined. In this study we examine non-parametric ex-post volatility measurements in order to obtain approximations of the variances of non-stationary return series. A detailed mathematical derivation and discussion of the already developed volatility measurements, in particular the realised volatility- and DST measurements, are given In theory, the higher the sample frequency of returns is, the more accurate the measurements are. These volatility measurements referred to above, however, all have short-comings in that the realised volatility fails if the sample frequency becomes to high owing to microstructure effects. On the other hand, the DST measurement cannot handle changing instantaneous volatility. In this study we introduce a new volatility measurement, termed microstructure realised volatility, that overcomes these shortcomings. This measurement, as with realised volatility, is based on quadratic variation theory, but the underlying return model is more realistic.
AFRIKAANSE OPSOMMING: Volatiliteit is oorspronklik as konstant en deterministies beskou, dit was eers later dat besef is dat opbrengste nie-stasionêr is. Betroubare volatiliteits metings was nie beskikbaar nie weens die nie-stasionêre aard van opbrengste. Daarom het navorsers gefokus op vooruitskattingvolatiliteits modelle. Dit was eers op hierdie stadium dat navorsers besef het dat die definieering van betroubare volatiliteit metings 'n voorvereiste is vir die skepping van goeie vooruitskattings modelle. Nie-parametriese volatiliteit metings word in hierdie studie ondersoek om sodoende benaderings van die variansies van die nie-stasionêre opbrengste reeks te beraam. 'n Gedetaileerde wiskundige afleiding en bespreking van bestaande volatiliteits metings, spesifiek gerealiseerde volatiliteit en DST- metings, word gegee. In teorie salopbrengste wat meer dikwels waargeneem word tot beter akkuraatheid lei. Bogenoemde volatilitieits metings het egter tekortkominge aangesien gerealiseerde volatiliteit faal wanneer dit te hoog raak, weens mikrostruktuur effekte. Aan die ander kant kan die DST meting nie veranderlike oombliklike volatilitiet hanteer nie. Ons stel in hierdie studie 'n nuwe volatilitieits meting bekend, naamlik mikro-struktuur gerealiseerde volatiliteit, wat nie hierdie tekortkominge het nie. Net soos met gerealiseerde volatiliteit sal hierdie meting gebaseer wees op kwadratiese variasie teorie, maar die onderliggende opbrengste model is meer realisties.
Cap, Thi Diu. "Implied volatility with HJM–type Stochastic Volatility model." Thesis, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-54938.
Full textJacquier, Antoine. "Implied volatility asymptotics under affine stochastic volatility models." Thesis, Imperial College London, 2010. http://hdl.handle.net/10044/1/6142.
Full textMinkah, Richard. "Forecasting volatility." Thesis, Uppsala University, Department of Mathematics, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-121079.
Full textAndersson, Kristina. "Stochastic Volatility." Thesis, Uppsala University, Department of Mathematics, 2003. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-121722.
Full textNicolay, David. "Volatility dynamics." Palaiseau, Ecole polytechnique, 2011. http://pastel.archives-ouvertes.fr/docs/00/60/01/06/PDF/VolatilityDynamics_DNicolay_PrePrint.pdf.
Full textNous établissons les liens asymptotique entre deux catégories de modèles à volatilité stochastique décrivant le même marché dérivé: - un modèle générique à volatilité stochastique instantanée (SInsV) , dont le système d'EDS est un chaos de Wiener formel, spécifié sans aucune variable d'état. - une classe à volatilité implicite stochastique glissante (SImpV), qui est un autre modèle de marché, décrivant explicitement la dynamique conjointe du sous-jacent et de la surface d'options Européennes associées. Chacune de ces connexions est atteinte couche par couche, entre un groupe de coefficients SInsV et un ensemble de differentielles SImpV (statiques et dynamiques). L'approche asymptotique conduit à ce que ces différentielles croisees soient prises à l'expiration zéro, au point ATM. Nous progressons d'une configuration simple, bi-dimensionnelle à sous-jacent unique, d'abord vers une configuration multi-dimensionnelle, puis vers un cadre à structure par terme. Nous exposons les contraintes structurelles de modélisation et l'asymétrie entre le problème direct (de SInsV vers SImpV) et inverse. Nous montrons que cette expansion asymptotique en chaos (ACE) est un outil puissant pour la conception et l'analyse de modèles. En se concentrant sur des modèles à volatilité locale et leurs extensions, nous comparons ACE avec la littérature et exhibons un biais systématique dans l'heuristique de Gatheral. Dans le contexte multi-dimensionnel, nous nous concentrons sur des paniers à poids stochastiques, pour lesquels ACE fournit des résultats intuitifs soulignant la recurrence naturelle. Dans l'environnement des taux d'intérêt, nous etablissons la première couche de descripteurs du smile pour les caplets, les swaptions et les options sur obligations, à la fois dans un cadre SV-HJM et un cadre SV-LMM. En outre, nous montrons que ACE peut être automatisé pour des modèles génériques, à n'importe quel ordre, sans calcul formel. L'intérêt de cet algorithme est démontré par le calcul manuel des 2eme et 3eme couches, dans un modèle générique SInsV bi-dimensionnel. Nous présentons le potentiel applicatif d'ACE pour la calibration, l'evaluation, la couverture ou à des fins d'arbitrage, illustré par des tests numériques sur le modèle CEV-SABR
Blanc, Pierre. "Effets de rétroaction en finance : applications à l'exécution optimaleet aux modèles de volatilité." Thesis, Paris Est, 2015. http://www.theses.fr/2015PEST1110/document.
Full textIn this thesis we study feedback effects in finance and we focus on two of their applications. These effects stem from the fact that traders split meta-orders sequentially, and also from feedback loops. Therefore, one can observe clusters of activity and periods of relative calm. The first part introduces an dynamic optimal execution framework with an exogenous stochastic flow of market orders. Our starting point is the well-known model of Obizheva and Wang which defines an execution framework with both permanent and transient price impacts. We modify the price model by adding an order flow based on Hawkes processes, which are self-exciting jump processes. The theory of stochastic control allows us to derive the optimal strategy as a closed formula. Also, we discuss the existence of Price Manipulations Strategies in the sense of Huberman and Stanzl which can be excluded from the model if the self-exciting property of the order flow exactly compensates the resilience of the price. The next chapter studies a calibration protocol for the model, which we apply to tick-by-tick data from CAC40 stocks. On this dataset, the model is found to explain a significant part of the variance of prices. We then evaluate the optimal strategy with a series of backtests, which show that it is profitable on average, although realistic transaction costs can prevent manipulation strategies. In the second part of the thesis, we turn to intra-day volatility modeling. Previous works from the volatility feedback literature mainly focus on the daily time scale, i.e. on close-to-close returns. Our goal is to use a similar approach on shorter time scales. We first present an ARCH-type model which accounts for the contributions of past intra-day and overnight returns separately. A calibration method for the model is considered, that we use on US and European stocks, and we provide some qualitative insights on the results. The last chapter of the thesis is dedicated to a high-frequency volatility model. We introduce a continuous-time analogue of the QARCH framework, which is also a generalization of Hawkes processes. This new model reproduces several important stylized facts, in particular it generates a time-asymmetric and fat-tailed volatility process
Guo, Zhi Jun Mathematics & Statistics Faculty of Science UNSW. "Small time asymptotics of implied volatility under local volatility models." Publisher:University of New South Wales. Mathematics & Statistics, 2009. http://handle.unsw.edu.au/1959.4/43746.
Full textLe, Truc. "Stochastic volatility models." Monash University, School of Mathematical Sciences, 2005. http://arrow.monash.edu.au/hdl/1959.1/5181.
Full textLewis, Ty. "Hedging of Volatility." Thesis, Uppsala universitet, Analys och sannolikhetsteori, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-224881.
Full textCarr, Justin P. "Modeling Volatility Derivatives." Digital WPI, 2011. https://digitalcommons.wpi.edu/etd-theses/1117.
Full textChen, Guoqiang. "Fuel volatility modeling." Thesis, Massachusetts Institute of Technology, 1994. http://hdl.handle.net/1721.1/12282.
Full textMitoulis, Nicolas. "Break-Even Volatility." Master's thesis, Faculty of Commerce, 2019. http://hdl.handle.net/11427/30980.
Full textKönigkrämer, Sören. "Realised volatility estimators." Master's thesis, University of Cape Town, 2014. http://hdl.handle.net/11427/8526.
Full textThis dissertation is an investigation into realised volatility (RV) estimators. Here, RV is defined as the sum-of-squared-returns (SSR) and is a proxy for integrated volatility (IV), which is unobservable. The study focuses on a subset of the universe of RV estimators. We examine three categories of estimators: historical, high-frequency (HF) and implied. The need to estimate RV is predominantly in the hedging of options and is not concerned with speculation or forecasting. The main research questions are; (1) what is the best RV estimator in a historical study of S&P 500 data? (2) What is the best RV estimator in a Monte Carlo simulation when delta hedging synthetic options? (3) Do our findings support the stylized fact of `Asymmetry in time scales' (Cont, 2001)? In the answering of these questions, further avenues of investigation are explored. Firstly, the VIX is used as the implied volatility. Secondly, the Monte Carlo simulation generates stock price paths with random components in the stock price and the volatility at each time point. The distribution of the input volatility is varied. The question of asymmetry in time scales is addressed by varying the term and frequency of historical data. The results of the historical and Monte Carlo simulation are compared. The SSR and two of the HF estimators perform best in both cases. Accuracy of estimators using long term data is shown to perform very poorly.
Chu, Thi Thao Nguyen <1995>. "Volatility index analysis." Master's Degree Thesis, Università Ca' Foscari Venezia, 2021. http://hdl.handle.net/10579/19463.
Full textHanzal, Martin. "Implikovaná volatilita a vyšší momenty rizikově neutrálního rozdělení jako předstihové indikátory realizované volatility." Master's thesis, Vysoká škola ekonomická v Praze, 2017. http://www.nusl.cz/ntk/nusl-358955.
Full textAljaid, Mohammad, and Mohammed Diaa Zakaria. "Implied Volatility and Historical Volatility : An Empirical Evidence About The Content of Information And Forecasting Power." Thesis, Umeå universitet, Företagsekonomi, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-172756.
Full textZeytun, Serkan. "Stochastic Volatility, A New Approach For Vasicek Model With Stochastic Volatility." Master's thesis, METU, 2005. http://etd.lib.metu.edu.tr/upload/3/12606561/index.pdf.
Full textAhy, Nathaniel, and Mikael Sierra. "Implied Volatility Surface Approximation under a Two-Factor Stochastic Volatility Model." Thesis, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-40039.
Full textNasir, Samia. "Volatility- An investigation of the relationship between price- and yield volatility." Thesis, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-51054.
Full textNilsson, Oscar, and Okumu Emmanuel Latim. "Does Implied Volatility Predict Realized Volatility? : An Examination of Market Expectations." Thesis, Uppsala universitet, Nationalekonomiska institutionen, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-218792.
Full textBrodd, Tobias. "Modeling the Relation Between Implied and Realized Volatility." Thesis, KTH, Matematisk statistik, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-273609.
Full textOptioner är en viktig del i dagens finansiella marknad. Det är därför viktigt att kunna förstå när optioner är över- och undervärderade för att vara i framkant av marknaden. För att bestämma detta kan relationen mellan den underliggande tillgångens volatilitet, kallad realiserad volatilitet, och marknadens förväntade volatilitet, kallad implicit volatilitet, analyseras. I den här avhandlingen undersöktes fem modeller för att modellera relationen mellan implicit och realiserad volatilitet. De fem modellerna var en Ornstein–Uhlenbeck modell, två autoregressiva modeller samt två artificiella neurala nätverk. För att analysera modellernas prestanda undersöktes olika nogrannhetsmått för prognoser från modellerna. Signaler från modellerna beräknades även och användes i en simulerad optionshandelsmiljö för att få en bättre förståelse för hur väl de presterar i en handelstillämpning. Resultaten tyder på att artificiella neurala nätverk kan modellera relationen bättre än mer traditionella tidsseriemodellerna. Det visades även att en handelsstrategi baserad på prognoser av relationen kunde generera en signifikant vinst. Det visades dessutom att vinster kunde ökas genom att kombinera en prognosmodell med en modell som klassificerar signaler.
Samiev, Sarvar. "GARCH (1,1) with exogenous covariate for EUR/SEK exchange rate volatility : On the Effects of Global Volatility Shock on Volatility." Thesis, Umeå universitet, Nationalekonomi, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-83722.
Full textBelchior, Diogo Francisco Ferreira. "Implied volatility as a forecast for future volatility : evidence from european market." Master's thesis, Instituto Superior de Economia e Gestão, 2012. http://hdl.handle.net/10400.5/10866.
Full textO objetivo principal deste estudo é o de testar se a Volatilidade Implicita em instrumentos financeiros, nomeadamente Opções financeiras, é um estimador preciso da Volatilidade Futura. Os dados usados dizem respeito ao Índice Euro Stoxx 50, mais concretamente cotações de fecho e Volatilidade Implicita em opções ATM com um mês até à maturidade, o que permite conduzir uma análise ao mercado Europeu. A amostra selecionada cobre o periodo de Janeiro de 2002 a Abril de 2012. Os testes realizados permitiram-nos concluir que a Volatilidade Implicita pode ser considerada um estimador centrado e eficiente para a Volatilidade Futura e ainda, que contém mais capacidade explicativa quando comparada com a Volatilidade Histórica, o que pode ser uma indicação de Eficiência de Mercado.
The main purpose of this master thesis is test whether implied volatility is an accurate estimator for future volatility. We collect data regarding to the Euro Stoxx 50 index, namely closing index prices and implied volatility from one-month ATM options, in order to conduct an analysis of the European Market. The Sample selected covers the period from January 2002 to April 2012. The tests conducted allow us to conclude that implied volatility can be considered an unbiased and efficient estimator for future volatility and also that has more predictive ability than historical volatility, which is an indication of market efficiency.
Štěrba, Filip. "Ocenění opcí na index PX se stochastickou volatilitou a časově závislou očekávanou bezrizikovou úrokovou sazbou." Doctoral thesis, Vysoká škola ekonomická v Praze, 2004. http://www.nusl.cz/ntk/nusl-76955.
Full textPáral, Jiří. "Bitcoins - využití virtuální měny v současné ekonomice DS." Master's thesis, Vysoká škola ekonomická v Praze, 2015. http://www.nusl.cz/ntk/nusl-206974.
Full textFässler, Lukas. "Volatility Smiles bei Aktienoptionen." St. Gallen, 2008. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/02600955002/$FILE/02600955002.pdf.
Full textXin, Mao. "The VIX Volatility Index." Thesis, Uppsala universitet, Analys och tillämpad matematik, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-153705.
Full textMagnusson, Erik. "Implied Volatility Surface Construction." Thesis, Umeå universitet, Institutionen för fysik, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-145894.
Full textPeters, Remco Theodoor. "Financial time and volatility." [S.l. : Amsterdam : s.n.] ; Universiteit van Amsterdam [Host], 2004. http://dare.uva.nl/document/73847.
Full textMazzotta, Stefano. "Three essays on volatility." Thesis, McGill University, 2005. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=85189.
Full textThe survey examines selected papers from the international finance literature and from the volatility literature with a focus on the theoretical and empirical relationship between first and second unconditional and conditional moments of domestic and international asset returns. It then specifically proposes several areas for investigation related to international finance topics. The first essay investigates the importance of asymmetric volatility when computing the risk premium of international assets. The results indicate that conditional second moment asymmetry is significant and time-varying. They also show that, if the price of risk is time-varying, the world market and foreign exchange risk premia estimated without allowing for time-varying asymmetry are less consistent with the data. Furthermore, they imply that asymmetry is more pronounced when the business condition is such that investors require higher compensation to bear risk.
In the second essay we start from the consideration that financial decision makers often consider the information in currency option valuations when making assessments about future exchange rates. The purpose of this essay is then to systematically assess the quality of option based volatility, interval and density forecasts. We use a unique dataset consisting of over 10 years of daily data on over-the-counter currency option prices. We find that the implied volatilities explain a large share of the variation in realized volatility. Finally, we find that wide-range interval and density forecasts are often misspecified whereas narrow-range interval forecasts are well specified.
In the third essay we examine whether the information contained in various measures of correlation among exchange rates can be used to assess future currency co-movement. We compare option-implied correlation forecasts from a dataset consisting of over 10 years of daily data on over-the-counter currency option prices to a set of return-based correlation measures and assess the relative quality of the correlation forecasts. We find that while the predictive power of implied correlation is not always superior to that of returns based correlations measures, it tends to provide the most consistent results across currencies. Predictions that use both implied and returns-based correlations generate the highest adjusted R2's, explaining up to 42 per cent of the realized correlations.
Kambouroudis, Dimos S. "Essays on volatility forecasting." Thesis, University of St Andrews, 2012. http://hdl.handle.net/10023/3191.
Full textALMEIDA, DIOGO RIBEIRO. "DOES GOVERNANCE REDUCE VOLATILITY?" PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2007. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=10569@1.
Full textEsta dissertação examina os impactos das boas práticas de governança corporativa na volatilidade dos retornos das ações dentro e fora de momentos de crise. Dados de freqüência diária foram utilizados para estimar modelos Autoregressivos Generalizados de Heterocedasticidade Condicional (GARCH) para quarenta e nove papéis negociados na Bolsa de Valores de São Paulo (BOVESPA). As evidências indicam um efeito negativo na maioria das séries analisadas. Para algumas ações, a redução da volatilidade é ainda maior em períodos de choques negativos. Foi encontrado, ainda, o resultado de que o risco mitigado é o idiossincrático e, desta forma, governança incentiva a manutenção da concentração de propriedade.
This dissertation examines impacts of good practices of corporate governance on the volatility of returns in and out crisis periods. Daily data are used to estimate Generalized Autoregressive Conditional Heteroskedastic (GARCH) models for forty nine stocks traded on the São Paulo Stock Exchange (BOVESPA. It is found evidence of a negative impact on the majority of the analyzed series. For some stocks, the reduction of the volatility is even greater in crisis periods. It was also found that the risk mitigated is the idiosyncratic one and, thus, governance incentives the maintenance of ownership concentration.
Wang, Bingsong. "Essays on unemployment volatility." Thesis, University of Bath, 2016. https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.698960.
Full textRaddatz, Claudio E. "Essays on macroeconomic volatility." Thesis, Massachusetts Institute of Technology, 2003. http://hdl.handle.net/1721.1/17574.
Full textIncludes bibliographical references (p. 145-150).
This thesis consists of three empirical essays on different aspects of macroeconomic volatility. The first essay provides evidence of a causal and economically important relation between financial development and macroeconomic volatility by looking at the effect of financial development in the volatility of sectors with different liquidity needs. The results show that sectors with high liquidity needs are relatively more volatile in financially underdeveloped countries. These sectoral effects of financial underdevelopment can significantly increase macroeconomic volatility, despite the fact that financial underdevelopment also induces countries to move away from sectors with high liquidity needs. The second essay explores the causes of the decline in U.S. manufacturing volatility during the last two decades. The essay presents and estimates a model that decomposes the changes in the volatilities of manufacturing sectors among the effects of output composition, aggregate shocks, sectoral shocks, and sectoral linkages. The results show that changes in the volatility of aggregate shocks and their impact across sectors account for the most of the decline in U.S. manufacturing volatility. A smaller role is played by changes in the volatility of sectoral shocks and in the intensity of sectoral linkages. The third essay analyzes both the sectoral effects of monetary policy and the role that monetary policy plays in the transmission of sectoral shocks. Our methodology is applied to the case of the U.S., finding considerable differences in the response of different sectors to monetary policy. The results also show that monetary policy is an important source of sectoral transfers: a shock to Equipment-and-Software Investment, naturally identified with the high-tech crises, induces a monetary policy response that generates a temporary boom in Residential Investment and Consumption of Durables, but which has almost no effect on the high-tech sector.
by Claudio Enrique Raddatz Kiefer.
Ph.D.
Banerjee, Shesadri. "Essays on inflation volatility." Thesis, Durham University, 2013. http://etheses.dur.ac.uk/7344/.
Full textLaw, Siong Hook. "Finance, growth and volatility." Thesis, University of Leicester, 2005. http://hdl.handle.net/2381/30147.
Full textDi, Jing. "Macroeconomic volatility and growth." Thesis, University of Sheffield, 2011. http://etheses.whiterose.ac.uk/14571/.
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