Дисертації з теми "Asset Volatility"
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Murara, Jean-Paul. "Asset Pricing Models with Stochastic Volatility." Licentiate thesis, Mälardalens högskola, Utbildningsvetenskap och Matematik, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-31576.
Повний текст джерелаZhou, Peilan. "Essays on financial asset return volatility." Diss., Restricted to subscribing institutions, 2007. http://proquest.umi.com/pqdweb?did=1432786781&sid=1&Fmt=2&clientId=1564&RQT=309&VName=PQD.
Повний текст джерелаKim, Young Il. "Essays on Volatility Risk, Asset Returns and Consumption-Based Asset Pricing." The Ohio State University, 2008. http://rave.ohiolink.edu/etdc/view?acc_num=osu1211912340.
Повний текст джерелаBrunetti, Celso. "Comovement and volatility in international asset markets." Thesis, Queen Mary, University of London, 1999. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.322235.
Повний текст джерелаWatt, Wing Hong. "Essays on conditional volatility in asset returns." Thesis, University of Strathclyde, 1994. http://oleg.lib.strath.ac.uk:80/R/?func=dbin-jump-full&object_id=21340.
Повний текст джерелаAnimante, David. "Macroeconomic volatility and sovereign asset-liability management." Thesis, Imperial College London, 2013. http://hdl.handle.net/10044/1/24133.
Повний текст джерелаWang, Zhiguang. "Three Essays on Asset Pricing." FIU Digital Commons, 2009. http://digitalcommons.fiu.edu/etd/91.
Повний текст джерелаNäsström, Jens. "Volatility Modelling of Asset Prices using GARCH Models." Thesis, Linköping University, Department of Electrical Engineering, 2003. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-1625.
Повний текст джерелаThe objective for this master thesis is to investigate the possibility to predict the risk of stocks in financial markets. The data used for model estimation has been gathered from different branches and different European countries. The four data series that are used in the estimation are price series from: Münchner Rück, Suez-Lyonnaise des Eaux, Volkswagen and OMX, a Swedish stock index. The risk prediction is done with univariate GARCH models. GARCH models are estimated and validated for these four data series.
Conclusions are drawn regarding different GARCH models, their numbers of lags and distributions. The model that performs best, out-of-sample, is the APARCH model but the standard GARCH is also a good choice. The use of non-normal distributions is not clearly supported. The result from this master thesis could be used in option pricing, hedging strategies and portfolio selection.
Gaunersdorfer, Andrea. "Adaptive beliefs and the volatility of asset prices." SFB Adaptive Information Systems and Modelling in Economics and Management Science, WU Vienna University of Economics and Business, 2000. http://epub.wu.ac.at/1250/1/document.pdf.
Повний текст джерелаSeries: Working Papers SFB "Adaptive Information Systems and Modelling in Economics and Management Science"
Boguth, Oliver. "Essays on volatility risk premia in asset pricing." Thesis, University of British Columbia, 2010. http://hdl.handle.net/2429/27487.
Повний текст джерелаNguyen, Anh Thi Hoang. "Long memory conditional volatility and dynamic asset allocation." Thesis, University of Exeter, 2011. http://hdl.handle.net/10036/3279.
Повний текст джерелаSadik, Zryan. "Asset price and volatility forecasting using news sentiment." Thesis, Brunel University, 2018. http://bura.brunel.ac.uk/handle/2438/17079.
Повний текст джерелаZhang, Yapei. "Essays in household finance and Asset Pricing." Thesis, Université Paris-Saclay (ComUE), 2019. http://www.theses.fr/2019SACLH005.
Повний текст джерелаThis doctoral thesis consists of three independent papers in household finance and empirical asset pricing. The first two papers are closedly related, use similar data, and investigate the role of labor income risk in portfolio choice. The third paper studies volatility model based on Markov switching multifractal. The first paper is “Countercyclical Income Risk and Portfolio Choices” (with Sylvain Catherine and Paolo Sodini). Using Swedish administrative panel data on individual's wages and portfolio holdings, we show that countercyclical labor income downside risk reduces households' willingness to invest in financial market. The second paper is “Seeking Skewness”. Using detailed disaggregated Swedish household administrative data on portfolio holdings and labor income, this paper investigates retail investors’ behavior of seeking skewness in their portfolio choice. The third paper is “Multifractal Volatility with Shot-noise Component” (with Laurent Calvet). Based on the Markov Switching Multifractal (MSM) model of Calvet and Fisher (2004), we develop in this paper a discrete-time multifractal volatility model to capture the jump and decay pattern in the volatility process along with other stylized facts
Bredin, Donal Patrick. "Asset returns and the real economy." Thesis, University of Newcastle Upon Tyne, 2000. http://hdl.handle.net/10443/972.
Повний текст джерелаCaliskan, Nilufer. "Asset Pricing Models: Stochastic Volatility And Information-based Approaches." Master's thesis, METU, 2007. http://etd.lib.metu.edu.tr/upload/12608213/index.pdf.
Повний текст джерелаMiao, Jia. "Volatility filters for active asset trading and portfolio optimisation." Thesis, Liverpool John Moores University, 2006. http://researchonline.ljmu.ac.uk/5793/.
Повний текст джерелаBjursell, Johan. "Testing for jumps and modeling volatility in asset prices." Fairfax, VA : George Mason University, 2009. http://hdl.handle.net/1920/4573.
Повний текст джерелаVita: p. 160. Thesis director: James E. Gentle. Submitted in partial fulfillment of the requirements for the degree of Doctor of Philosophy in Computational Sciences and Informatics. Title from PDF t.p. (viewed Oct. 12, 2009). Includes bibliographical references. Also issued in print.
Reber, Samuel. "Volatility as an Asset Class An Analysis of Old and New Methods to Trade Volatility /." St. Gallen, 2007. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/01653302002/$FILE/01653302002.pdf.
Повний текст джерелаYu, Huaibing. "How Volatility is Priced by the Stock Market." Thesis, University of North Texas, 2020. https://digital.library.unt.edu/ark:/67531/metadc1707393/.
Повний текст джерелаPapadaki, Georgia. "Model averaging for volatility forecasting, option pricing and asset allocation." Thesis, Imperial College London, 2011. http://hdl.handle.net/10044/1/6395.
Повний текст джерелаCeliker, Umut. "Two Essays on Asset Prices." Diss., Virginia Tech, 2012. http://hdl.handle.net/10919/38833.
Повний текст джерелаPh. D.
Agyei-Ampomah, Samuel. "Investor interaction and excess volatility in financial assets." Thesis, University of Strathclyde, 2001. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.366829.
Повний текст джерелаRottenberg, Boaz. "The effect of financial leverage on asset price volatility in JapaneseKeiretsu." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2003. http://hub.hku.hk/bib/B31954625.
Повний текст джерелаYu, Jung-Suk. "Essays on Fine Structure of Asset Returns, Jumps, and Stochastic Volatility." ScholarWorks@UNO, 2006. http://scholarworks.uno.edu/td/431.
Повний текст джерелаLee, Hyoung Il. "Stochastic volatility models with persistent latent factors: theory and its applications to asset prices." Texas A&M University, 2008. http://hdl.handle.net/1969.1/86017.
Повний текст джерелаHuber, Michael. "Volatility Arbitrage as a Hedge Fund Strategy Is Volatility Risk Priced in Option Prices? /." St. Gallen, 2007. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/01651058002/$FILE/01651058002.pdf.
Повний текст джерелаChen, Andrew Y. "Essays on Asset Pricing in Production Economies." The Ohio State University, 2014. http://rave.ohiolink.edu/etdc/view?acc_num=osu1398770166.
Повний текст джерелаRottenberg, Boaz. "The effect of financial leverage on asset price volatility in Japanese Keiretsu." Click to view the E-thesis via HKUTO, 2003. http://sunzi.lib.hku.hk/hkuto/record/B31954625.
Повний текст джерелаJassur, Lior. "An Empirical Study of Asset Value and Volatility in Structural Credit Models." Thesis, Brunel University, 2007. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.486828.
Повний текст джерелаYang, Choa. "Multi-Asset and Stochastic Volatility Option and Bond Pricing Models : Valuations and Calibrations." Thesis, University of Manchester, 2009. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.508529.
Повний текст джерелаAndersson, Markus. "Multivariate Financial Time Series and Volatility Models with Applications to Tactical Asset Allocation." Thesis, KTH, Matematisk statistik, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-175326.
Повний текст джерелаDen finansiella marknaden är av en väldigt komplex struktur och modelleringsteknikerna har under senare tid blivit allt mer komplicerade. För en portföljförvaltare är det av yttersta vikt att finna mer sofistikerade modelleringstekniker, speciellt efter finanskrisen 2007-2008. Idéen i den här uppsatsen är att finna ett samband mellan makroekonomiska faktorer och aktieportföljer innehållande tillgångar från OMX Stockholm 30 och använda dessa för att utföra Tactial Asset Allocation (TAA). Mer specifikt är målsättningen att visa att dynamiska modelleringstekniker har ett bättre utfall än mer statiska modeller i portföljteori.
Williams, Julian. "Multivariate financial econometrics : with applications to volatility modelling, option pricing and asset allocation." Thesis, University of Bath, 2007. https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.437728.
Повний текст джерелаYevstihnyeyev, Roman. "Estimation of Asset Volatility and Correlation Over Market Microstructure Noise in High-Frequency Data." Thesis, Harvard University, 2015. http://nrs.harvard.edu/urn-3:HUL.InstRepos:14398547.
Повний текст джерелаStråle, Johansson Nathalie, and Malin Tjernström. "The Price Volatility of Bitcoin : A search for the drivers affecting the price volatility of this digital currency." Thesis, Umeå universitet, Företagsekonomi, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-98397.
Повний текст джерелаHalova, Marketa. "Essays on International Asset Portfolios and Commodities Trade." Thesis, Boston College, 2012. http://hdl.handle.net/2345/3924.
Повний текст джерелаThesis advisor: Fabio Ghironi
Do events in the natural gas market cause repercussions in the crude oil market? In light of the enormous impact that price movements in the two largest U.S. energy markets have on the economy, it is important to understand not just the individual markets but also how they relate to one another. On this front, the literature presents a puzzle: while economic theory suggests that the oil and gas markets are interlinked through a bi-directional causal relationship, empirical research has concluded that the oil market affects the gas market but not vice versa. The first chapter of this dissertation improves on the previous studies in two ways: by using high-frequency, intraday oil and gas futures prices and by analyzing the effect of specific news announcements from the weekly oil and gas inventory reports. The results dispel the notion of one-way causality and provide support for the theory. The reaction of the futures volatility and returns is asymmetric, although this asymmetry does not follow the "good news" vs. "bad news" pattern from stock and bond markets; the response depends on whether the shock is driven by oil or gas inventory gluts or shortages. The two-way causality holds not only for the nearby futures contract but also for contracts of longer maturities. These findings underscore the importance of analyzing financial markets in a multi-market context. The second chapter of this dissertation asks whether volatility and trading volume evolve in a unidirectional or bidirectional, contemporaneous or lagged relationship in the crude oil and natural gas futures markets. This question is important because it affects trading and government regulation but previous studies have come to conflicting conclusions. Their main shortcoming is the low frequency of data used in the analysis. This chapter improves on the previous studies in three ways: by using high-frequency, intraday oil and gas futures prices and volume, by including trading not only during the day but also during the night, and by analyzing not only the nearby futures contract but also contracts with longer maturities. For the nearby contract, Granger-causality tests show that past values of volume help explain volatility which agrees with the Sequential Information Arrival Hypothesis. Past values of volatility have explanatory power for volume only when absolute return is used as the volatility measure; when the conditional variance from GARCH models is used as the volatility measure, the causality in this direction disappears. These results change when low-frequency daily data is applied. It is also shown that the volatility-volume relationship differs for contracts with longer maturities. These findings are relevant for regulations, such as trader position limits recently adopted by the U.S. Commodity Futures Trade Commission. The third chapter of this dissertation investigates whether the production structure of firms affects international optimal portfolios, risk-sharing, and response of terms of trade (TOT) to shocks. The answer to this question would enhance our understanding of the home equity bias, yet it has not been addressed in the theoretical literature. This chapter studies the question in a two-country dynamic stochastic general equilibrium model with endogenous portfolio allocation. It shows that the optimal portfolio includes more home equity as the production structure changes from exporter-only, i.e., firms operating in their home countries and serving foreign markets by exports, to multi-national-company-extreme (MNC), i.e., firms hiring labor in both countries and producing locally in both countries. This shift occurs because changing the firms' production structure eliminates exposure to technology differences and allows the home household to accomplish the same diversification with less foreign equity. The production structure also has implications for the effect of technology shocks on the TOT. Under the exporter-only setup, a shock to technology causes a standard TOT deterioration, whereas under the MNC-extreme setup, a shock to technology leads to a TOT improvement. By producing testable predictions, this chapter underscores the need to take firms' production structure into account when analyzing international optimal portfolios, risk sharing, and response of the TOT to technology shocks. This is especially important since empirical research has generated conflicting results
Thesis (PhD) — Boston College, 2012
Submitted to: Boston College. Graduate School of Arts and Sciences
Discipline: Economics
Mandal, Anandadeep. "An empirical investigation of the determinants of asset return comovements." Thesis, Cranfield University, 2015. http://dspace.lib.cranfield.ac.uk/handle/1826/10184.
Повний текст джерелаAndersson, Henrik. "Valuation and hedging of long-term asset-linked contracts." Doctoral thesis, Stockholm : Economic Research Institute, Stockholm School of Economics (EFI), 2003. http://www.hhs.se/efi/summary/613.htm.
Повний текст джерелаDalderop, Jeroen Wilhelmus Paulus. "Essays on nonparametric estimation of asset pricing models." Thesis, University of Cambridge, 2018. https://www.repository.cam.ac.uk/handle/1810/277966.
Повний текст джерелаMcQuade, Timothy. "Essays in Financial and Housing Economics." Thesis, Harvard University, 2013. http://dissertations.umi.com/gsas.harvard:10857.
Повний текст джерелаEconomics
Koh, Woo Hwa. "Essays on the Cross-section of Returns." The Ohio State University, 2015. http://rave.ohiolink.edu/etdc/view?acc_num=osu1436980305.
Повний текст джерелаKhan, Salman. "Essays on financial crises, Contagion and Intervention." Thesis, Aix-Marseille 3, 2011. http://www.theses.fr/2011AIX32033.
Повний текст джерелаThe objective of the dissertation is to study various aspects of financial crisis 2007-09. Overall there are two kinds of objectives that are pursued in this dissertation: the first objective is to decipher the linkages between different stock markets, real estate markets and oil markets in order to assess the return and volatility spillover effects. The focus in this area is on the level of integration among the markets during different periods of time including crisis. This area is investigated through developing three separate essays. The first essay tests the Russian government claim that shocks originating in foreign markets were primarily responsible for its stock market panic during September-October 2008. Using financial contagion framework, the results indicate that the Russian stock market is weakly integrated with the US and European market in turn discarding the government claim. In bivariate market comparison, the results indicate that Russian market emits high level of shocks affecting the correlation structure between Russia and foreign markets while the reverse is true in case of volatility spillover effects. It is concluded that the governments should not use the justification of foreign shocks affecting the local markets during global crisis. Akin to foregoing analysis, we look at the transmission of shock and volatility in the Real Estate Investment Trust (REIT) markets. Since by law REITs are required to invest a large portion of their investments in real estate, the role of REITs in spreading the subprime mortgage crisis across the globe has been assessed. The initial analysis indicates that during crisis all markets are granger causing each other. The result is in compliance with the widely held view that the stock markets behave alike during global crisis. Next the integration between USREITs and global REITs and S&P500 has been examined. The results indicate USREITs is weakly integrated with the global REITs implying low level of bidirectional shock and volatility spillover while the reverse is true in case of USREITs- S&P500. Finally the integration between S&P500 and global REITs has been explored. The results suggest weak integration between S&P500 and global REITs. The shocks are mainly transmitted from S&P500 to global REITs. Over all the study concludes that neither USREITs nor S&P500 can create a wider panic in the global REIT markets during crisis. These weak linkages points towards portfolio diversification benefits as well.Studying the crisis at the next level, we analyze short-run as well as long-run relationship between crude oil price and stock markets for Brazil, Russia, India and China (BRIC) within a constrained structural modeling framework. Our findings indicate that BRIC stock markets to certain extent follow the efficient market hypothesis such that in case of oil importing country a positive oil price shock cause the stock market to fall and the reverse is true for an oil exporting country. Two important behaviors have been identified related to short-run interest rate and industrial production. The rise in oil prices generate inflation which is countered by increase in short-run interest rate. At the same time, industrial production tends to increase in real terms instead of decreasing in view of oil price shock (increase in oil price). The result can be attributed to hedging oil price risk with physical delivery. Once the hedge contract starts expiring after 30, 90 or 180 days the impact of oil price starts reducing the industrial production. The second objective of the dissertation is to study the government intervention specifically in the stock markets and generally in the economy. From stock market perspective, we analyze the case of Russian government repeated intervention in its national stock markets during late 2008. Using event-study methodology the findings indicate weak evidence that government intervention can in fact prevent stock market from external financial shocks. The study strongly recommends that the governments should not intervene during stock market crisis.Studying the case of general economy, a new idea has been developed and floated regarding central bank’s intervention directed to preempt an Asset Price Bubble (APB). The economic theory regarding central bank monetary policy intervention has been found to suffer from various problems in the event an APB occurs, such as, -time lag, -cannot affect bubbled sector alone as well as –irrelevance of traditional bank-lending channel. To deal with these issues the study brings forward the idea of regulatory intervention based on certain text book assumptions. The idea entails that contrary to traditional monetary policy intervention, the central bank should impose credit exposure limits for a particular sector on credit institutions. These limits should be imposed once the central bank finds out the abnormal increase in prices in a given sector of the economy. Our preliminary findings suggest that idea of regulatory intervention has the potential to preempt the APB
Wan, Simon Shui-Ming. "Real exchange rate volatility in the long-run growth process." Thesis, University of Oxford, 2014. http://ora.ox.ac.uk/objects/uuid:9115f1f1-656c-4d3b-9147-4d061d30859d.
Повний текст джерелаSanusi, Muhammad Surajo. "Market efficiency, volatility behaviour and asset pricing analysis of the oil & gas companies quoted on the London Stock Exchange." Thesis, Robert Gordon University, 2015. http://hdl.handle.net/10059/1243.
Повний текст джерелаGissler, Stefan. "Essays in financial history." Doctoral thesis, Universitat Pompeu Fabra, 2014. http://hdl.handle.net/10803/283092.
Повний текст джерелаLes friccions del mercat influeixen en els preus dels actius financers? La primera part examina si la capacitat del balanç ̧ dels intermediaris financers, si la seva liquiditat financera, pot influir sobre la liquiditat del mercat, la volatilitat i l’estructura de preu. Mitjançant l’estudi d’un cas históric aquesta part suggereix que quan un proveidor de liquiditat té limitat el balanç, els mercats passen a no tenir liquiditat i els preus varien. La segona part se centra en el crac borsari alemany el 1927. Explica la relació entre l’apalancament i el comportament dels preus dels actius financers. El resultat indica que la poltica de crédit dels bancs va influir els preus dels actius financers una política expansiva reduia la volatilitat i feia augmentar els rendiments. Una gran retallada en el marge de crédit portava a majors fluc- tuacions dels preus. La tercera part analitza la connexió entre el sector financer i el sector real de l’economia. La teoria de les bombolles racionals suggereix que a l’Anglaterra del segle divuit el deute del govern va fer augmentar el benestar dels consumidors, tot donant-los dipósits de valor segurs.
Mandal, Anandadeep. "The governing dynamics of stock-bond return co-movements: a systematic literature review." Thesis, Cranfield University, 2012. http://dspace.lib.cranfield.ac.uk/handle/1826/7880.
Повний текст джерелаAvancini, Gabriel Tambarussi. "Estudo da volatilidade da série de preços da soja por meio de modelos GARCH e modelos ARFIMA." Universidade de São Paulo, 2015. http://www.teses.usp.br/teses/disponiveis/11/11134/tde-22042015-174305/.
Повний текст джерелаThe purpose of this article was to study the volatility of the soybean price traded in futures contracts on the BM&FBOVESPA (SFI series). The study was conduct by comparison between two approaches: first, was use the series of absolute returns of the respective series, to represent its volatility, which was persistent over time, proving the fact that the series has a long memory behavior. Because of such behavior, it was necessary to use ARFIMA models (\"Autoregressive Fractional Integrated Moving Average\"), which are able to capture effectively such behavior. Still using this approach, the models were estimate in two different ways: first, which all parameters were estimate simultaneously, and the second one, that was first estimated the long memory parameter, differentiated the series and, later, adjusted the ARIMA models in differentiated data. Finally, the second approach used in this work is the most common in academic research: the estimation of GARCH models (\"Generalized Autoregressive Conditional Heretoscskedasticity\") directly in the returns series of the studied series. In this study, we conclude that the first approach was more effective, given the comparison criteria used.
Ivanioukhine, Alexander, and Filip Wahlmark. "Guld - en safe haven mot volatilitet? : Undersökning av förhållandet mellan guld och volatilitetsindex." Thesis, Södertörns högskola, Företagsekonomi, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-35507.
Повний текст джерелаThe purpose of this study was to analyse whether gold fulfils the criteria for being a safe haven asset in certain conditions. Through the use of data pooled from CBOE’s VIX, GVZ and the spot price of gold, we employ a quantitative approach to analyse correlation, rate of return and standard deviation during times of market volatility. The chosen period for this analysis is the time between 1994 and 2018. Gold proved its ability to retain value during such conditions, which is evidenced by higher average returns when VIX has been at high levels. This strengthens its role as a safe haven asset. However, gold failed to keep a low level of volatility in periods of rising implied volatility on the stock market, as expressed by the VIX index. Moreover, the implied volatility of gold, expressed through the GVZ index, has shown a strong correlation with the VIX, indicating that gold is not a safe haven. Finally, the gold spot price was shown to have little to no correlation with changes in VIX.
Tsai, Ping-Chen. "An empirical study on jumps in asset prices using high-frequency data : volatility specification, jumps detection & the modelling of jump intensity." Thesis, Lancaster University, 2013. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.663227.
Повний текст джерелаDias, Shehan Preethike Dilruk. "An enquiry into econometric testing of PPP-sensitivity issues, and a study of interrelations, predictabilty, volatility and nonlinearity of daily asset returns." Thesis, Birkbeck (University of London), 2008. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.497634.
Повний текст джерелаZhuang, Yuchen. "Risk, return and market condition: a new functional-beta capital asset pricing model." Thesis, Curtin University, 2009. http://hdl.handle.net/20.500.11937/78.
Повний текст джерела