Sökning: "volatility decomposition"
Visar resultat 1 - 5 av 11 uppsatser innehållade orden volatility decomposition.
- Magister-uppsats, Lunds universitet/Statistiska institutionen
Sammanfattning : This thesis is an explorative note on the non-Gaussian innovations of the volatility process. More specifically, the thesis investigates if the decomposition of the Standard Classical Laplace (SCL) distribution to a difference of two exponential is a valid alternative to modelling the asymmetric volatility processes, taking volatility clustering, the leverage effect and asymmetric response in volatility into account. LÄS MER
- D-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi
Sammanfattning : The Great Moderation, a long-lasting period of reduced fluctuations in key macroeconomic variables, has attracted the attention of many scholars because of the positive outcomes associated with low volatility. The aim of these studies has mainly been to identify the ultimate source of this phenomenon. LÄS MER
3. Characterization of reaction products in sodium-oxygen batteries : An electrolyte concentration studyUppsats för yrkesexamina på avancerad nivå, Uppsala universitet/Strukturkemi
Sammanfattning : In this thesis, the discharge products formed at the cathode and the performance and cell chemistry of sodium-oxygen batteries have been studied. This was carried out using different NaOTf salt concentrations. LÄS MER
- Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen
Sammanfattning : This thesis applies the decomposition suggested by Alexander and Venkatramanan (2012) to the pay-off of a basket option of two assets with a non-zero strike to derive an approximate price of corresponding basket option. The decomposition yields two sub-baskets and a situation where sub-strikes must be chosen. LÄS MER
- D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi
Sammanfattning : Using principal component analysis, we find that there are three principal components that can explain almost all of the variation in the 5-20 year maturities of break-even inflation, defined as the spread between nominal Treasury and TIPS yields. The three principal components correspond to the factors regularly used in the empirical literature to describe the term structure of interest rates, namely, level, slope and curvature. LÄS MER