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 13 of 13 for “"Volatility Modelling"”.
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Essays in volatility modelling
… mainly concerns some novel developments in volatility modelling. We first derive the diffusion limits of two recently proposed (discrete time) volatility models. Subsequently, we propose a new model that allows for conditional heteroskedasticity in the volatility of asset returns and …
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Multivariate volatility modelling in modern finance
The aim of the study is to ascertain whether the information gained from the more complicated multivariate matrix decomposition models can be used to better forecast the covariance matrix and produce a Value at Risk estimate which more appropriately describes fat-tailed financial time-series.
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Range-based Volatility Modelling, Forecasting and Spillovers
… of univariate and multivariate range-based volatility models and applies these models to study volatility spillovers during Chinese stock market turbulence. The first study compares the predictive ability of six parametric range-based volatility estimators, including the vanilla and …
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The impact of project flexibility on project choice and capital structure
… risk. ROA, by virtue of its explicit cash flow volatility modelling provides a framework for a consideration of the optimal level of project debt. In this case it suggests that the project can carry more debt than would have been acceptable if the more traditional NPV method was used in its …
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Local Stochastic Volatility—The Hyp-Hyp Model
Volatility modelling is used predominantly in order to explain the volatility smile observed in the market. Stochastic volatility models are mainly used to capture the curvature of a volatility smile while local volatility models generally model the skew. Jackel and Kahl ¨ (2008) present a …
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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 …
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On modelling volatility and mortality for pension schemes
The purpose of this research is to develop volatility and mortality models that could be used in asset liability management in pension schemes. This study provides a comprehensive study of various advance multivariate DCC GARCH models which are used for construction of optimal portfolios in …
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A Study on GARCH volatility processes in pricing derivatives
… in the pricing of long term contracts. Volatility modelling results indicate that the return-volatility relationship is symmetric in the long run, but over the short term asymmetry also arises in the EURUSD and GBPUSD exchange rates. The third application evaluates canola futures in …
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Essays on continuous time diffusion models.
… pricing, option pricing, portfolio selection and volatility modelling, continuous time diffusion models have proved to be a very attractive way to conduct research and gain economic intuition. This thesis makes three main contributions to the field of continuous time diffusion models. First, we …
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Market efficiency, volatility behaviour and asset pricing analysis of the oil & gas companies quoted on the London Stock Exchange.
This research assessed market efficiency, volatility behaviour, asset pricing, and oil price risk exposure of the oil and gas companies quoted on the London Stock Exchange with the aim of providing fresh evidence on the pricing dynamics in this sector. In market efficiency analysis, efficient …
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Exchange rate volatility in LDCs: some findings from the Ghanaian, Mozambican and Tanzanian markets
… to justify the applicability of a number of volatility modelling techniques, we also examine the data to find if they exhibit the empirical regularities found in other exchange rate/financial markets such as volatility clustering, non-linearity, non-normality and asymmetry. Our results …
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Essays in Hierarchical Time Series Forecasting and Forecast Combination
… the literature on hierarchical time series (HTS) modelling by proposing a disaggregated forecasting system for both inflation rate and its volatility. Using monthly data that underlies the Retail Prices Index for the UK, we analyse the dynamics of the inflation process. We examine patterns in the …