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 4 of 4 for “"Implied Correlation"”.
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Currency trios - using geometric concepts to visualise and interpret relationships between currencies
… and the cosine of each angle represents the correlation between the two exchange rates depicted by the angle's adjacent sides. The geometric approach is particularly useful when dealing with implied data as it allows the calculation of implied correlation using implied volatility. This is …
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Nonlinear dependence and its application in finance
Submission original under an indefinite embargo labeled 'Open Access'. The submission was exported from vireo on 2024-03-01 without embargo terms
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Three Essays in Applied Econometrics: with Application to Natural Resource and Energy Markets
… oil, crude oil/propane, crude oil/diese. The correlation coefficients implied by the dependence index estimates show that correlations conditional on threshold exceedance are generally higher than the unconditional correlation between crude oil/heating oil and crude oil/gasoline. However, …
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Three essays in spatial econometrics
… often fail in the presence of spatial autocorrelation, which is commonplace in geographic (cross-sectional) data sets, and thus giving misleading inference, and thereby wrong policy implications are derived from these econometric models. In this dissertation I have dealt with such model …