Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
Results
Showing 1 to 20 of 24 for “"Conditional volatility"”.
-
Essays in Asset Pricing and Volatility Risk
… aggregate uncertainty into `good' and `bad' volatility components, associated with positive and negative innovations to macroeconomic growth. We document that in line with our theoretical framework, these two uncertainties have opposite impact on aggregate growth and asset prices. Good …
-
Water Level Modeling around German Bight
… heteroscedastic residuals captured by a dynamics conditional volatility model. Two different procedures are applied in this work to model the conditional mean dynamics. After the comparison of the empirical results from all procedures, we get the residuals from the "best" approach. Afterwards we …
-
Application of GARCH Type Models in Forecasting Value at Risk
… investigates dynamic VaR modeling using four conditional volatility forecasting models: GARCH, TGARCH, GJRGARCH, and IGARCH, and compares the forecasting output of the suggested GARCH-based volatility models. Since the predictive accuracy of Value-at-Risk (VaR) models is crucial for adequate …
-
Essays on International Finance
… Finally, the introduction of the interest rate conditional volatility in the variance equation of the GARCH (1,1) specifications was very fruitful. It seems that GARCH effects vanished for some of the countries. The interest rate volatility captured well the information arrival in the sample.
-
Gaussian estimation of single-factor continuous-time models of the South African short-term interest rate
… Elasticity of Variance (CEV) model and that the conditional volatility depends to some extent on the level of the interest rate. In addition we find evidence of a structural break in the mid- 1980s, confirming our suspicions that the financial liberalisation of that period affected the short rate …
-
Gaussian estimation of single-factor continuous-time models of the South African short-term interest rate
… Elasticity of Variance (CEV) model and that the conditional volatility depends to some extent on the level of the interest rate. In addition we find evidence of a structural break in the mid-1980s, confirming our suspicions that the financial liberalisation of that period affected the short rate …
-
Transition equity markets of Central Europe: volatility, predictability, integration
… time series by addressing the issues of volatility, predictability and international asset pricing in these markets. In Chapter Two we start from an overview of the transition stock markets by presenting their historical background, basic regulations, statistics, and stock market indices. …
-
Accurate portfolio risk-return structure modelling
… which is constantly pushing the development on volatility models. Particularly, the stochastic volatility model which reveals the dynamics of conditional volatility. Financial time series and volatility models has become one of the hot spots in operations research. In this thesis, one of the …
-
Essays on the Modelling of S&P 500 Volatility
… the patterns of term-structure of implied volatility and examines the performance of different specifications of time-series and options-based volatility forecasting models under the influence of the observed market biases. Our research is based primarily upon the use of S&P 500 data for …
-
Essays on the empirical analysis of energy risk
… regime for the petroleum complex. Modelling the conditional distribution of energy prices as a regime switching process is motivated by the market-specific characteristics of oil: different market conditions, such as backwardation and contango, involve different dynamics. The first empirical part …
-
A statistical analysis of the natural gas futures market : the interplay of sentiment, volatility and prices
… of the variables influencing the price and volatility of this energy market. The analysis develops a theoretical model for the conditional reactions to weekly natural gas inventory reports, and develops an extended theory of errors in natural gas inventory estimates. The central objective of …
-
Essays on the empirical analysis of volatility transmission in petroleum markets
… and integration, leading to increased volatility and exposing participants to potentially much greater risks. This thesis addresses the explicit modeling of petroleum price volatility in a multivariate framework and analyzes the relative merits of multivariate models to describe change …
-
Risk in Brazilian Stock and Futures Markets
… markets focusing on two questions: (i) Does volatility in emerging stock markets follow the time patterns observed in more traditional markets? and (ii) Can emerging futures markets in LDC's perform their classic functions of hedge provision and price discovery when operating under suboptimal …
-
Three essays in time series analysis
… We build a multi-equation autoregressive conditional quantile model and propose a new construction of the QIRF. We investigate dynamic QIRFs of the US economy in response to monetary policy and financial shocks, providing some interesting results: (i) Economic activity has the most …
-
Impacts of Volatility Spillovers, Economic Volatility and Capital Inflows on Mortgage-backed Financial Markets
… of mortgage-backed stock returns and their volatility spillovers within the framework of time-varying symmetric, asymmetric and multivariate GARCH-family models. The focus of the chapter is on the dynamics of volatility of the U.S. real estate investment trusts (REITs) and volatility …
-
Portfolio risk analysis : conditional estimates of value-at-risk and international volatility spillovers
… . We establish this by taking the view that unconditional volatility estimates are inappropriate in VaR analysis. To provide the motivation and the justification for forwarding an alternative model we examine three empirical issues. The first issue is whether the traditional approach based on …
-
Essays on International Stock and Bond Returns
… detect changes of dependence structure. Finally, conditional volatility as an explanatory variable is found to be statistically significant in explaining and predicting the contagion across at least five countries, and the level of exchange rate shows its predictive power in contagion for at least …
-
Essays in Financial Economics
… in consumption, time-varying consumption volatility and investor's preferences for early resolution of uncertainty. In this model, varying consumption volatility in the presence of the predictable consumption component leads to appropriate variation in bond yields and the risk premia to …
-
Are futures prices good price forecasts? Nonlinearities in efficiency and risk premiums in the soybean futures complex
… and Shek 2012) that has been shown to improve conditional volatility modeling. We focus on the markets in the soybean complex because of their economic importance, and differences that exist in the nature of markets (e.g., storability). Also, beginning with Rausser and Carter (1983), the …
-
A machine learning hybrid approach to forecasting equity returns volatility: A South African perspective.
… in the forecasting of financial market return volatility. There are many methods for predicting the volatility of financial market returns, and various studies have indicated differing degrees of accuracy in this regard. Research on describing the effectiveness of various approaches under …
Page 1 of 2