Avancerad sökning

Hittade 3 uppsatser som matchar ovanstående sökkriterier.

  1. 1. Particle-based Stochastic Volatility in Mean model

    Master-uppsats, KTH/Matematisk statistik

    Författare :Gustav Kövamees; [2019]
    Nyckelord :Stochastic volatility model; Volatility feedback theory; hidden Markov model; particle filter; Expectation-Maximization algorithm; PaRIS-algorithm; Stokastisk volatilitets modell; dold Markov modell; partikel-filter; Förväntan-Maximering algorithm; PaRIS-algoritm; volatilitets-återkopplings-teori;

    Sammanfattning : This thesis present a Stochastic Volatility in Mean (SVM) model which is estimated using sequential Monte Carlo methods. The SVM model was first introduced by Koopman and provides an opportunity to study the intertemporal relationship between stock returns and their volatility through inclusion of volatility itself as an explanatory variable in the mean-equation. LÄS MER

  3. 2. RELATIONSHIP BETWEEN SOVEREIGN CREDIT DEFAULT SWAP AND STOCK MARKETS- The Case of East Asia     

    Master-uppsats, Företagsekonomi; Handelshögskolan vid Umeå universitet (USBE)

    Författare :Serkalem Tilahun Basazinew; Aliaksandra Vashkevich; [2013]
    Nyckelord :sovereign credit risk; credit default swap; stock index; Merton model; price discovery; capital structure arbitrage; emerging market.;

    Sammanfattning : When adjusted to sovereign entities, the structural credit risk model assumes a negative (positive) relationship between sovereign CDS spreads and stock prices (volatilities). In theory both markets are supposed to incorporate new information simultaneously. LÄS MER

  4. 3. Leverage Effects on the Swedish stock market

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Gustav Lindström; [2007]
    Nyckelord :Stock market; volatility; leverage effect; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Sammanfattning : The leverage effect is one of two main hypotheses explaining the negative relationship between volatility of returns and return on equity. It states that a decrease in leverage, due for example to rising stock prices, increases the amount of equity which carries the firm volatility and thus decreases the volatility on rates of return. LÄS MER