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 10 of 10 for “"Volatility Modeling"”.
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Fuel volatility modeling
Thesis (M.S.)--Massachusetts Institute of Technology, Dept. of Mechanical Engineering, 1994.
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Volatility Modeling Using the Student's t Distribution
Over the last twenty years or so the Dynamic Volatility literature has produced a wealth of univariate and multivariate GARCH type models. While the univariate models have been relatively successful in empirical studies, they suffer from a number ofweaknesses, such as unverifiable parameter …
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Volatility modeling and estimation of high-frequency data with Gaussian noise
Thesis (Ph. D.)--Massachusetts Institute of Technology, Sloan School of Management, 1996.
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Volatility Modeling and Risk Measurement using Statistical Models based on the Multivariate Student's t Distribution
… this thesis has focused on the statistical modeling of expected return and volatility. The primary aim of this study is to propose a framework, based on the probabilistic reduction approach, to reliably quantify market risk using statistical models and historical data. Particular emphasis is …
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Naftos kainos volatilumo tyrimas /
… on literature analysis to determine what causes volatility in the price of crude oil, overview what methods are used to model, and forecast volatility and conduct empirical research to further analyze the causes and their effect on the price. The work consists of three main parts: the analysis of …
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An Application of Artificial Neural Networks in Forecasting Future Oil Price Return Volatilities
… GARCH model, which is a commonly used model for volatility modeling and prediction. In this part of the study, the crude oil future prices data from the NYMEX are used for volatility modeling. The results prove that the ANNs (Both types of the used ANNs in this study) are performing better than …
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On modeling the volatility in speculative prices
… models, to capture univariate and multivariate volatility. The St-AR and St-VAR models differ from the latter volatility models because they give rise to internally consistent statistical models that do not rely on ad-hoc specification and parameter restrictions, but model the conditional mean …
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Are futures prices good price forecasts? Nonlinearities in efficiency and risk premiums in the soybean futures complex
… 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 forecast accuracy …
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One and Two-Step Estimation of Time Variant Parameters and Nonparametric Quantiles
… explore nonparametric techniques for estimating volatility of financial data. We develop a residual based method for estimating the conditional variance function using local composite quantile regression, and compare this to using local least squares regression. These methods are applied on the …
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Revisiting the CAPM and the Fama-French Multi-Factor Models: Modeling Volatility Dynamics in Financial Markets
The primary objective of this dissertation is to revisit the CAPM and the Fama-French multi-factor models with a view to evaluate the validity of the probabilistic assumptions imposed (directly or indirectly) on the particular data used. By thoroughly testing the assumptions underlying these …