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.
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Showing 1 to 8 of 8 for “"Equity Volatility"”.
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Forecasting Equity Volatility Dynamics with Markov-Switching EGARCH Models
Understanding and anticipating stock market volatility enables better portfolio management. We forecast US equity volatility with a Markov-Switching EGARCH model with one high and one low volatility regime. We show that this model contains similar information about future volatility as the VIX …
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An investigation into the characteristics of equity volatility and its implications for derivative strategies
… the original model. The reality of stochastic volatility contradicts a key assumption of the Black-Scholes model and addressing this has motivated the development of more appropriate volatility models. The improved speci�cation and forecasting of asset price volatility has been influenced by …
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Elections And Asset Pricing: The Politically Sensitive Equity Of Us Military Contractors
… relationship between political uncertainty and equity volatility in the months around US elections from 1989-2012. The Economic Policy Uncertainty Index and Stockholm International Peace Research Institute (SIPRI) data are employed to measure political uncertainty faced by military contractors, …
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Oil Price Movements and Equity Returns: Evidence from the GCC Countries
… what extent how oil movements differently affect equity returns in general and sectoral levels of the GCC countries stock markets. Modeling the equity returns volatility requires using GARCH-type models. These models help to explore the pronounced differences of the conditional variance structures …
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Essays on institutional investors, central banks and asset pricing
… and the Federal Reserve Bank on the equilibrium equity premium, risk free rate and asset volatility and to analyze the effect of these institutions on risk shifting, portfolio allocation and financial stability. Specific features of institutional investors and central banks as well as their role …
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Models of Corporate and Bank Default and Credit Migration
… of bonds with the same rating but higher equity volatility. We also find that structural models tend to underestimate the default probabilities in early years. The second study examines whether information from equity markets, as summarized in the distance to default measure derived from a …
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An analysis of monthly calendar anomalies in the Pakistani stock market: a study of the Gregorian and Islamic calendars
… conclusions about the predictability of equity returns at different times within a year. Since the conclusions of these findings have been mixed, the current study undertakes further work on this topic to offer some clarity in this area; this thesis arrives at a firm conclusion about the …