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 11 of 11 for “"volatility clustering"”.
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Modeling of electricity spot prices for derivative valuation : capturing volatility clustering and price jumps
… are non-storeability, strong seasonality, high volatility 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 …
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A post-crisis investigation in to the performance of GARCH-based historical & analytical value-at-risk on the FTSE
… data that has the financial crisis and/or high volatility period removed, then the results across the two data sets are compared. The take away point from this research is that the volatility-clustering mechanism inherent in every GARCH model is capable of producing accurate VaR estimates in a …
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A new approach to calculate and forecast dynamic conditional correlation - the use of a multivariate heteroskedastic mixture model
… been directed towards forecasting time varying volatility of unidimensional macroeconomic variables such as stock index, exchange rate and interest rate. However, comparatively little is devoted to modelling time varying correlation. In this research, we extend the current literature on …
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Assessing the predictability of the stock market and reit returns: a cross-country analysis /
… models, like GARCH, to better account for volatility clustering and time-varying volatility in asset returns.
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Stochastic Modelling of Heavy-Tailed Precipitations in Canadian Prairies
… characteristics such as heavy-tailedness and volatility clustering (i.e., some periods of high and some periods of low volatility) which make it challenging to develop an effective model for both the theoretical and observations viewpoints. The main goal of this study is to introduce a model …
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Spatio-Temporal Patterns, Correlations, and Disorder in Evolutionary Game Theory
… distributions in return and trading volume, the volatility clustering, and the long-range correlation in volatility. It is demonstrated that the long-tail feature in trading volume distribution results in the fat-tail distribution of asset return, and furthermore it is shown that the long tail in …
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Analysis and Modelling of Financial Logarithmic Return Data using Multifractal and Agent-Based Techniques
… Log returns generated by the model also have volatility clustering, are uncorrelated and asymmetrically distributed. I test the log returns generated by my model for their scaling properties and find that they do not have multifractal scaling. This is an interesting result since the simulated …
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Three essays on housing economics
… the spatial behavior of housing price and its volatility and one chapter that focuses on a more fundamental housing issue. The first chapter examines the spatial variation of housing price volatility. I develop a flexible spatial volatility model for squared returns using a Box-Cox …
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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 on the Modelling of S&P 500 Volatility
… the patterns of term-structure of implied volatility and examines the performance of different specifications of time-series and options-based volatility forecasting models under the influence of the observed market biases. Our research is based primarily upon the use of S&P 500 data for …
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Analysing the One Certainty that Rules Us All: Trade (and Economic) Policy Uncertainty
… à la Görtz et al. (2022). The fourth paper, “The Volatility of Economic Policy Uncertainty”, is joint work with Prof. Paul Kattuman, where we analyze the volatility of uncertainty, measured using Baker et al.’s (2016) newspaper-based Economic Policy Uncertainty index, in a T-GARCH framework. We …