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 7 of 7 for “"Har Model"”.
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Modelling financial volatility using Bayesian and conventional methods
… investigates different volatility measures and models, including parametric and non-parametric volatility measurement. Both conventional and Bayesian methods are used to estimate volatility models. Chapter 1: We model and forecast intraday return volatility based on an extended stochastic …
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Price jumps and volatility in U.S. agricultural futures markets
… neural networks in econometrics suggest this model is particularly suited in capturing unknown nonlinearities forms. Using corn futures prices observed between 2009 and 2017, this paper compares the volatility forecasting performance of nonlinear autoregressive ANN models against other …
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Essays on Commodity Price Shocks, Bank Risk and Market Volatility Forecasting
… Chapter 2 develops a structural dynamic factor model that estimates the effects of commodity price shocks on the Canadian macroeconomy, bank lending and bank risk. Unlike most literature treating commodity price changes as exogenous, I identify global structural shocks driving real commodity …
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Modeling Conditional Distribution of Intraday Returns
Time-series modeling of conditional distributions of intraday returns is of great importance to financial professionals and academic researchers. This work contributes to a methodological and empirical body of knowledge on conditional distributions of intraday asset returns. In Chapter 1, we study …
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Extending volatility models with market sentiment indicators
… accuracy of a heterogenous au- toregressive model (HAR) by including market sentiment indicators based on Google search volume and Twitter sentiment. We have analysed 30 com- panies of the Dow Jones index for a period of 15 months. We have performed out-of-sample forecast and compiled a …
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Volatility and return forecasting : time series and options-based methods
This thesis attempts to model and forecast returns and realized volatility using two different methods: time series models that exploit the historical information set and options-based approach that provides a natural forecast of return variation from listed option prices. Both univariate and …
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Can intraday data improve commodity hedging performance?
Submission published under a 24 month embargo labeled 'U of I Access', the embargo will last until 2024-12-01