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 “"price jumps"”.
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Price jumps and volatility in U.S. agricultural futures markets
… information experienced by these markets affect prices and volatility dynamics. In the third essay, I investigate whether more flexible research approaches should be employed to provide market participants and policy markets more accurate volatility forecasts within the context of the new more …
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Modeling of electricity spot prices for derivative valuation : capturing volatility clustering and price jumps
… and extreme events where the electricity spot price exhibits spiky behaviour and volatility clustering. Extreme events appear when e.g. a power plant is unexpectedly closed down, or temperature drops significantly, and the spot price volatility may exceed mean price by several orders of …
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Using High-Frequency Options Data to Evaluate Economic Trading Models
… and analyze the data behaviour around jumps.</p><p>The first chapter analyzes the implications of a disagreement model in which investors observe public information but agree to disagree about its interpretation. In this framework, the disagreement between investors can be recovered from …
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Uncertainty, Emerging Biomass Markets, and Land Use
… the uncertainty associated with woody biomass prices and rents, transaction costs incurred to land use play an important role in land allocation decisions and make this study distinct from other work. In Chapter 1, we introduce the background and objectives of our study. In Chapter 2, we …
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Essays on financial econometrics : variance and covariance estimation using price durations
… and covariance estimators constructed on the price domain: the price duration based variance and covariance estimators. A price event occurs when the absolute cumulative price change equals or exceeds a pre-specified threshold value. The time taken between two consecutive price events is a …
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Essays on financial econometrics : cojump detection and density forecasting
… (2008) jump detection tests to detect intraday price jumps for ten foreign exchange rates and cojumps for six groups of two dollar exchange rates and one cross exchange rate at the one-minute frequency for five years from 2007 to 2011. We reject the null hypothesis that jumps are independent …
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Essays in Financial Economics
… is the recent evidence on large moves in asset prices, and the over-pricing of the out-of-the-money index put options relative to standard models. In this work, I argue that the long-run risks type model can successfully explain these features of financial markets. I present robust empirical …