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Rozprawy doktorskie na temat „VOLATILITY MEASUREMENT”

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Data publikacji: 11 września 2023

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1

Ndiaye, Moctar. "Maize price volatility in Burkina Faso : Measurement, Causes and Consequences." Thesis, Montpellier, 2016. http://www.theses.fr/2016MONTD042.

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La volatilité des prix alimentaires est devenue un sujet de préoccupation constante dans les pays en développement suite à la flambée des prix des produits alimentaires en 2007/08 et 2010/11. Cette thèse s’intéresse à la caractérisation de la volatilité des prix au Burkina Faso. La volatilité des prix est définie comme la part imprévisible des variations de prix. Les objectifs de cette thèse sont en particulier i) d’évaluer les caractéristiques de la volatilité des prix du maïs au Burkina Faso, ii) d’analyser ses déterminants et iii) ses impacts sur le comportement des producteurs. Pour répond
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2

Bernemyr, Hanna. "Volatility and number measurement of diesel engine exhaust particles." Doctoral thesis, Stockholm : Maskinkonstruktion, Kungliga Tekniska högskolan, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-4482.

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Chen, Liyuan. "Essays on portfolio optimization, volatility modelling and risk measurement." Thesis, University of York, 2017. http://etheses.whiterose.ac.uk/19165/.

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This study comprises of three essays on the subject of financial risk management with applications in the fields of portfolio optimization, continuous and discrete time stochastic volatility (SV) modelling. We jointly consider two risk measures: Value-at-Risk (VaR) and conditional Value-at-Risk (CVaR) to measure the financial market risk. In order to model the distribution of financial asset returns which is characterized by skewness, heavy tails and leptokurtosis, we employ the Asymmetric Laplace distribution (ALD) in the first and third essay while constructing the risk model on the basis of
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Jain, Akansha, and Svitlana Denga. "Volatility on forex exchange of India." Thesis, PUET, 2015. http://dspace.puet.edu.ua/handle/123456789/2852.

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Exchange rate movements play substantial role in risk measurement and their effective management. Volatility in exchange rates has been quite large and it has affected sales as well as profit margins of multinationals in India. Based on statistic analysis, some suggestion have been drawn for improving functioning of forex exchange market in India.<br>1. Most hedging instruments are required to cope up extreme volatility of INR against all major currencies of the world. 2. Steady liberalization of financial markets is need more attention on business who invest back in India. 3. Promotion of inv
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5

Ally, Abdallah K. "Quantile-based methods for prediction, risk measurement and inference." Thesis, Brunel University, 2010. http://bura.brunel.ac.uk/handle/2438/5342.

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The focus of this thesis is on the employment of theoretical and practical quantile methods in addressing prediction, risk measurement and inference problems. From a prediction perspective, a problem of creating model-free prediction intervals for a future unobserved value of a random variable drawn from a sample distribution is considered. With the objective of reducing prediction coverage error, two common distribution transformation methods based on the normal and exponential distributions are presented and they are theoretically demonstrated to attain exact and error-free prediction interv
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6

Franklin, Jonathan Pfeil. "Measurement and characterization of low volatility organic compounds in the atmosphere." Thesis, Massachusetts Institute of Technology, 2018. http://hdl.handle.net/1721.1/119327.

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Thesis: Ph. D. in Environmental Chemistry, Massachusetts Institute of Technology, Department of Civil and Environmental Engineering, 2018.<br>Cataloged from PDF version of thesis.<br>Includes bibliographical references.<br>Organic aerosol is a central topic in environmental science due to its role in climate forcing and negative health effects. The transformation of organic species from primary gas phase emissions to secondary organic aerosol (SOA) is highly complex and poorly understood, proving difficult for even stateof- the-art computational models to predict. This thesis describes the in-
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7

Kim, Alisa. "Deep Learning for Uncertainty Measurement." Doctoral thesis, Humboldt-Universität zu Berlin, 2021. http://dx.doi.org/10.18452/22161.

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Diese Arbeit konzentriert sich auf die Lösung des Problems der Unsicherheitsmessung und ihrer Auswirkungen auf Geschäftsentscheidungen, wobei zwei Ziele verfolgt werden: Erstens die Entwicklung und Validierung robuster Modelle zur Quantifizierung der Unsicherheit, wobei insbesondere sowohl die etablierten statistischen Modelle als auch neu entwickelte maschinelle Lernwerkzeuge zum Einsatz kommen. Das zweite Ziel dreht sich um die industrielle Anwendung der vorgeschlagenen Modelle. Die Anwendung auf reale Fälle bei der Messung der Volatilität oder bei einer riskanten Entscheidung ist mit einem
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8

Malherbe, Chanel. "Fourier method for the measurement of univariate and multivariate volatility in the presence of high frequency data." Master's thesis, University of Cape Town, 2007. http://hdl.handle.net/11427/4386.

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9

Mazibas, Murat. "Dynamic portfolio construction and portfolio risk measurement." Thesis, University of Exeter, 2011. http://hdl.handle.net/10036/3297.

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The research presented in this thesis addresses different aspects of dynamic portfolio construction and portfolio risk measurement. It brings the research on dynamic portfolio optimization, replicating portfolio construction, dynamic portfolio risk measurement and volatility forecast together. The overall aim of this research is threefold. First, it is aimed to examine the portfolio construction and risk measurement performance of a broad set of volatility forecast and portfolio optimization model. Second, in an effort to improve their forecast accuracy and portfolio construction performance,
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10

Singh, Ashish. "Measurement of the physical properties of ultrafine particles in the rural continental US." Diss., University of Iowa, 2015. https://ir.uiowa.edu/etd/1905.

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The drivers of human health and changing climate are important areas of environmental and atmospheric studies. Among many environmental factors present in our biosphere, small particles, also known as ultrafine particles or UFPs, have direct and indirect pathways to affect human health and climatic processes. The rapid change in their properties makes UFPs dynamic and often challenging to quantify their effect on health and radiative forcing. To reduce uncertainty in the climate effects of UFPs and to strengthen the evidence on health effects, accurate characterizations of physical and chemica
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11

Clements, Adam. "The impact and measurement of the intensity of noise in stock returns." Thesis, Queensland University of Technology, 2002.

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The development of financial economics literature has been characterised by a continual dialogue between empirical and theoretical researchers. Often, this dialogue has taken the form of empirical observation prompting theoretical enquiry. This thesis follows this long tradition by investigating a number of emerging empirical facts, for which in most cases, simple theoretical explanations are suggested. Broadly speaking, this thesis investigates the manner in which the level of activity in an asset market influences the empirical features exhibited by the asset's returns. Motivated by these em
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12

Du, Toit Cornel. "Non-parametric volatility measurements and volatility forecasting models." Thesis, Stellenbosch : Stellenbosch University, 2005. http://hdl.handle.net/10019.1/50401.

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Assignment (MComm)--Stellenbosch University, 2005.<br>ENGLISH 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
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13

Tabner, Isaac T. "The relationship between concentration and realised volatility : an empirical investigation of the FTSE 100 Index January 1984 through March 2003." Thesis, University of Stirling, 2005. http://hdl.handle.net/1893/79.

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Few studies have examined the impact of portfolio concentration upon the realised volatility of stock index portfolios, such as the FTSE 100. Instead, previous research has focused upon diversification across industries, across geographic regions and across different firms. The present study addresses this imbalance by calculating the daily time series of four concentration metrics for the FTSE 100 Index over the period from January 1984 through March 2003. In addition, the value weighted variance covariance matrix (VCM) of daily FTSE 100 Index constituent returns is decomposed into four sub-c
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14

Kimmel, Raymond A. "Volatility measurements applied to information systems." Thesis, Monterey, California: Naval Postgraduate School, 2013. http://hdl.handle.net/10945/37650.

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Approved for public release; distribution is unlimited<br>Inappropriate and/or duplicate IT systems results in a severe drain on resources. Identifying the development of low utility and duplicate systems allows for the redirection of resources with higher and unique returns. Volatility measurements allow systems to be compared to determine the gains over prior iterations along with aiding in determining which options to exercise for future systems. The decision maker of an organization must be able to monitor how IT systems are functioning and hold program managers and developers accountable
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15

Samsonescu, Jorge Augusto Dias. "Carteiras de baixa volatilidade : menor risco e maior retorno no mercado de ações brasileiro." Universidade do Vale do Rio dos Sinos, 2015. http://www.repositorio.jesuita.org.br/handle/UNISINOS/3639.

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Submitted by Maicon Juliano Schmidt (maicons) on 2015-05-25T14:00:15Z No. of bitstreams: 1 Jorge Augusto Dias Samsonescu.pdf: 443638 bytes, checksum: 0ac887f981377608fa611c1016a91b22 (MD5)<br>Made available in DSpace on 2015-05-25T14:00:15Z (GMT). No. of bitstreams: 1 Jorge Augusto Dias Samsonescu.pdf: 443638 bytes, checksum: 0ac887f981377608fa611c1016a91b22 (MD5) Previous issue date: 2015-02-20<br>Banco do Brasil S.A.<br>Este trabalho analisa o desempenho fora da amostra de carteiras de mínima variância e baixa volatilidade no mercado de ações brasileiro entre 2003 e 2013, comparativame
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16

Nguyen, QuynhGiao N. "High Temperature Volatility and Oxidation Measurements of Titanium and Silicon Containing Ceramic Materials." Abstract only. Full text release has been delayed at the author's request until December 31, 2010, 2008. http://rave.ohiolink.edu/etdc/view?acc_num=csu1239291812.

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Thesis (Ph.D.)--Cleveland State University, 2008<br>Abstract. Includes bibliographical references (p. 110-111). Electronic full text release has been delayed at the author's request until December 31, 2010.
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17

Bräutigam, Marcel. "Pro-cyclicality of risk measurements. Empirical quantification and theoretical confirmation." Thesis, Sorbonne université, 2020. http://www.theses.fr/2020SORUS100.

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Cette thèse analyse, d’un point de vue empirique et théorique, la procyclicité des mesures de risque sur les données historiques, i.e. l'effet de surestimation du risque futur en temps de crise, et sa sous-estimation en temps normal. Nous développons une méthodologie pour évaluer empiriquement le degré de procyclicité, en introduisant un processus de quantiles (« Value-at-Risk ») historiques pour mesurer le risque. En appliquant cette procédure à 11 indices boursiers, nous identifions deux facteurs expliquant la procyclicité : le « clustering » et le retour à la moyenne de la volatilité (tel q
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18

Jebabli, Ikram. "Essays on the transmission of shocks between financial, energy and food markets : transmission channels, measurement, effets and management." Thesis, Université Clermont Auvergne‎ (2017-2020), 2017. http://theses.bu.uca.fr/nondiff/2017CLFAD007_JEBABLI.pdf.

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Cette thèse par essais a pour objectif de contribuer à une meilleure compréhension de la transmission au marché alimentaire des chocs provenant des marchés financier et énergétique. Le premier essai étudie l’efficience du marché alimentaire. Le deuxième essai examine les transmissions de rendements et de volatilités entre les trois marchés. Quant au troisième essai, il s’intéresse à l’analyse de la dépendance extrême entre ces marchés. Nos principaux résultats permettent de souligner l’impact de la crise financière de 2007-2008 et la financiarisation des marchés de commodités dans l’intensific
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19

Malířová, Tereza. "Measurement of volatility spillovers and asymmetric connectedness on commodity and equity markets." Master's thesis, 2017. http://www.nusl.cz/ntk/nusl-367838.

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Measurement of volatility spillovers and asymmetric connectedness on commodity and equity markets Tereza Malířová Master's Thesis, IES FSV UK, July 2017 We study volatility spillovers among commodity and equity markets by employing a recently developed approach based on realized measures and forecast error variance decomposition invariant to the variable ordering from vector-autoregressions. This enables us to measure total, directional and net volatility spillovers as well as the asymmetry of responses to positive and negative shocks. We exploit high-frequency data on the prices of Crude oil,
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20

SINGH, KANIKA. "VOLATILITY MEASUREMENT IN INDIA FOREX MARKET USING GARCH MODAL." Thesis, 2017. http://dspace.dtu.ac.in:8080/jspui/handle/repository/16473.

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This dissertation is a study on volatility measurement of Foreign exchange market in India using GARCH model. This study includes an overview of Indian Foreign exchange market and its position with respect to global Forex market .Regimes of Indian foreign exchange market have been studied to bring out the impact of high volatility on the foreign trade and economic growth in India .The periods of high volatility have causes a substantial decrease in foreign trade and economic activity in the country emphasizing the importance to forecast volatility so that the competent authority can take
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21

Poel, Jeff D. "A novel apparatus for estimating pesticide volatility from spray droplets." Thesis, 1996. http://hdl.handle.net/1957/34244.

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22

Gao, RUI. "Three Essays on Volatility Measurement and Modeling with Price Limits: A Bayesian Approach." Thesis, 2014. http://hdl.handle.net/1974/8576.

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This dissertation studies volatility measurement and modeling issues when asset prices are subject to price limits based on Bayesian approaches. Two types of estimators are developed to consistently estimate integrated volatility in the presence of price limits. One is a realized volatility type estimator, but using both realized asset prices and simulated asset prices. The other is a discrete sample analogue of integrated volatility using posterior samples of the latent volatility states. These two types of estimators are first constructed based on the simple log-stochastic volatility model i
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23

Chen, Shieh-Chieh, and 陳世杰. "A Study about the Measurement of Taiwan’s Stock Market Volatility Index." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/73243028809913270495.

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碩士<br>國立高雄第一科技大學<br>金融營運所<br>95<br>This study is using the model of implied volatility model of Chicago Board Option Exchange to construct the implied volatility index of Taiwan’s option market. We hope the implied volatility index of Taiwan’s option market can provide more information to analyze for the investor to trade. In order to make the accuracy better, we try to do some change on the underlying assets in the model. We Use Taiwan’s Future Index to be the underlying assets. According this, we construct the new implied volatility index of Taiwan’s option market. The results show that
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24

Cheng, Pei-Shan, and 鄭佩珊. "Development and application of a volatility measurement system for ambient ultrafine particles." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/m363dq.

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碩士<br>中國醫藥大學<br>職業安全與衛生學系碩士班<br>101<br>Ambient ultrafine particles (diameters < 100 nm) are chemically complex mixtures. Because of their small sizes, these particles have little mass and evolve rapidly in ambient air, thus making the measurements of their physicochemical properties a major technical challenge. Nevertheless, as different chemicals exhibit different volatility, direct measurements of the particle volatility could allow us to infer particle’s chemical composition and mixing state. With that in mind, the aims of this study were to develop a volatility tandem mobility analyzer (V-
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Pask, Adriaan Eckhardt. "South African asset classes : return and volatility relationship dynamics over time." Thesis, 2008. http://hdl.handle.net/10500/2707.

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This dissertation is based on the hypothesis that a third dimension, namely investment time horizon, can add value to the more conventional two-dimensional methodology of assessing the relative risk and return attributes of various assets and portfolios in order to enhance investment decisions. This study shows that time horizons should be considered in the investment decision making process and provides concrete evidence that a methodology that is not cognizant of investment time horizon is prone to extensive long-term opportunity cost risk. In addition to providing evidence of invest
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26

Κωστενίδου, Ευαγγελία. "Usage of aerosol mass spectrometry for the measurement of the physical and chemical properties of the atmospheric nanoparticles." Thesis, 2010. http://nemertes.lis.upatras.gr/jspui/handle/10889/3343.

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The Aerosol Mass Spectroscopy (AMS) is a recently developed method that provides on-line measurements of the chemical composition, mass spectrum and mass distributions of the atmospheric aerosol. Using the AMS with a thermodenuder in smog chamber experiments of ozonolysis of α-pinene, β-pinene and limonene, the mass spectrum of the secondary organic aerosols (SOA) is deconvoluted in low, medium and high volatility mass spectra. The spectrum of the surrogate component with the lower volatility for α-pinene and β-pinene is quite similar to that of ambient oxygenated organic aerosol (OOA). This c
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Γκατζέλης, Γεώργιος. "Measurement of non-volatile particle number size distribution." Thesis, 2014. http://hdl.handle.net/10889/8672.

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A new experimental methodology was developed to measure the non-volatile particle number concentration, using a thermodenuder (TD). The TD was coupled with a high resolution time-of-flight aerosol mass spectrometer, measuring the chemical composition and mass size distribution of the submicrometer aerosol and a scanning mobility particle sizer (SMPS) that provided the number size distribution of the aerosol in the range from 10 to 500 nm. The method was evaluated with a set of smog chamber experiments and achieved almost complete evaporation (98 %) of secondary organic aerosol (SOA) as wel
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Chauhan, Shobha. "The effects of financial liberalisation in emerging market economies." Diss., 2012. http://hdl.handle.net/10500/5623.

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The aim of this research is to show the effects of financial liberalisation on emerging market economies, how these economies removed restrictions on financial institutions so that they can be globally integrated, and to show the flow of international finance in and out of a country. This research also illustrates how the financial system in these economies moved from being government-led to being market-led. The main finding of this research is that many countries failed to reap the benefits of liberalisation because of weaknesses in the regulatory structure, undercapitalised banks, volatile
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29

Ben, Salah Hamdy. "L'impact de la volatilité des taux de change sur le commerce international : essai de validation empirique désagrégées des exportations sectorielles canadiennes vers les États-Unis via une approche d'estimation VAR." Thèse, 2010. http://hdl.handle.net/1866/9038.

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La présente étude offre un panorama sur les interactions et les liens qui existent entre la volatilité des taux de change et les échanges internationaux. L’objectif de ce travail est donc de présenter théoriquement cette relation, puis d’examiner empiriquement l’existence de cette relation de causalité entre le commerce international et la variabilité des taux de change. La littérature portant sur la question se considère dans l'ensemble comme contradictoire et supporte plusieurs controverses qui ne nous permettent pas de conclure clairement quant à la relation en question. Nous essayerons de
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