Sökning: "volatility decomposition"

Visar resultat 1 - 5 av 11 uppsatser innehållade orden volatility decomposition.

  1. 1. Modeling asymmetry in volatility response - non-Gaussian innovations approach

    Magister-uppsats, Lunds universitet/Statistiska institutionen

    Författare :Ludvig Göransson; [2020]
    Nyckelord :ARCH; GARCH; APARCH; Asymmetric GARCH; non-Gaussian innovations; Laplace distribution; Leverage effect; Stylized facts; Volatility process.; Mathematics and Statistics;

    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

  2. 2. On the Sources of the Great Moderation in Italy - A Time Varying VAR Approach

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Författare :Giovanni Sciacovelli; [2018]
    Nyckelord :Bayesian Estimation; Great Moderation; Italy; Time Varying Parameters; Vector Autoregression Analysis;

    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. 3. Characterization of reaction products in sodium-oxygen batteries : An electrolyte concentration study

    Uppsats för yrkesexamina på avancerad nivå, Uppsala universitet/Strukturkemi

    Författare :Jonas Hedman; [2017]
    Nyckelord :Sodium-oxygen batteries; Sodium superoxide; Sodium peroxide; Energy storage; Scanning electron microscopy; X-Ray diffraction; Carbon cathodes; Electrochemistry; Material characterization; Sodium triflate; Diglyme;

    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

  4. 4. Evaluation of analytical approximations of two-asset basket option price

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Teo Nilsson; [2015]
    Nyckelord :Teo; Nilsson; Basket-option; Option-pricing; Analytical-approximation; Business and Economics;

    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

  5. 5. Empirical Risk Decomposition of Break-even Inflation

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Jonas Gustavsson; Patrik Paluch; [2014]
    Nyckelord :TIPS; Break-even inflation; Term structure; Liquidity; Inflation;

    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