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Rozprawy doktorskie na temat „Directional and volatility dependence”

Autor: Grafiati

Data publikacji: 3 czerwca 2025

Data aktualizacji: 31 lipca 2025

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1

Noureldin, Diaa. "Essays on multivariate volatility and dependence models for financial time series." Thesis, University of Oxford, 2011. http://ora.ox.ac.uk/objects/uuid:fdf82d35-a5e7-4295-b7bf-c7009cad7b56.

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This thesis investigates the modelling and forecasting of multivariate volatility and dependence in financial time series. The first paper proposes a new model for forecasting changes in the term structure (TS) of interest rates. Using the level, slope and curvature factors of the dynamic Nelson-Siegel model, we build a time-varying copula model for the factor dynamics allowing for departure from the normality assumption typically adopted in TS models. To induce relative immunity to structural breaks, we model and forecast the factor changes and not the factor levels. Using US Treasury yields

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2

Sanchez, Caballero Lizeth Katherine. "Geostatistical modeling of geotechnical variables considering directional dependence." Electronic Thesis or Diss., Université Paris sciences et lettres, 2022. https://thesesprivees.mines-paristech.fr/2022/2022UPSLM045_archivage.pdf.

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Avec la modélisation géologique et géométallurgique, la modélisation géotechnique est l'une des composantes essentielles de la planification et du développement de projets miniers à ciel ouvert et souterrains. Une caractéristique particulière de nombreuses variables géotechniques est d'être dépendante de la direction, c'est-à-dire que la mesure d'une carotte de sondage dépend non seulement de sa position géographique mais aussi de son orientation. Pour tenir compte de cette caractéristique, il est proposé de régionaliser les variables géotechniques dans un espace à cinq dimensions correspondan

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3

Yeung, Alan. "Volatility level dependence and the CEV market model." Master's thesis, Faculty of Commerce, 2020. http://hdl.handle.net/11427/33066.

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Interest-rate volatility is known to be level-dependent. However, Filipovic, Larsson and Trolle (2017) found that volatility becomes more level-dependent as the interest rate approaches the zero lower bound. This varying volatility level-dependence feature motivates the use of CEV market model to model the interest rate. In this dissertation, we compare the lognormal forward LIBOR market model, the CEV market model and the normal market model through regression analysis, hedging analysis and calibration analysis to assess their performance. The investigation is performed using EURIBOR 10-year

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4

Ramnarayan, Kalind. "Level Dependence in Volatility in Linear-Rational Term Structure Models." Master's thesis, Faculty of Commerce, 2019. http://hdl.handle.net/11427/31207.

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The degree of level dependence in interest rate volatility is analysed in the linearrational term structure model. The linear-rational square-root (LRSQ) model, where level dependence is set a priori, is compared to a specification where the factor process follows CEV-type dynamics which allows a more flexible degree of level dependence. Parameters are estimated using an unscented Kalman filter in conjunction with quasi-maximum likelihood. An extended specification for the state price density process is required to ensure reliable parameter estimates. The empirical analysis indicates that the

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5

Ulbrich, Carolin [Verfasser]. "Spectral and directional dependence of light-trapping in solar cells / Carolin Ulbrich." Aachen : Hochschulbibliothek der Rheinisch-Westfälischen Technischen Hochschule Aachen, 2011. http://d-nb.info/1018190570/34.

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6

Tran, Vu. "Sovereign credit ratings and financial market volatility : bi-directional relationships and heterogeneous impact." Thesis, Bangor University, 2015. https://research.bangor.ac.uk/portal/en/theses/sovereign-credit-ratings-and-financial-market-volatility--bidirectional-relationships-and-heterogeneous-impact(ccca6f4a-fcfb-4acc-95eb-d6c7acff063f).html.

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This thesis examines the bi-directional relationship between sovereign credit ratings and financial market volatility. Prior literature focuses on one aspect of the relationship which is the impact of credit rating actions on financial assets’ returns, whereas the links between rating actions and market volatility have attracted little attention. Based on a comprehensive dataset of rating events from the three largest credit rating agencies (CRAs) i.e. S&P, Moody’s, and Fitch, this thesis presents unique evidence of (i) inter-relationships between sovereign rating information and equity market

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7

Xia, Fujie. "Topics in dependence modelling." Thesis, The University of Sydney, 2014. http://hdl.handle.net/2123/11645.

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This thesis focuses on modelling of dependence across random variables. It contains three essays: (1) Modelling and forecasting realised variance covariance matrices (VCM); (2) VaR-based diversification under non-linear dependence and heavy tails; and (3) Epsilon-complexity for bivariate copulas. In essay 1, a new model for modelling and forecasting realized VCMs is proposed. The approach is based on the Cholesky decomposition (CD) of realised VCMs using the Realised Kernel (RK) method on tick-by-tick data. The principal components of the Cholesky factorizations are analysed using the distr

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Ahmed, Salman. "Topics in macro finance." Thesis, University of Cambridge, 2018. https://www.repository.cam.ac.uk/handle/1810/271307.

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In terms of the specific topics covered in the thesis, my research aims to further understanding of risky asset return and volatility behaviour from a macro-finance perspective. In three of the four chapters, the macro drivers of both risky asset returns (the first moment) and volatility (the second moment) are studied and analyzed in detail across different geographies and various time periods. The use of both long sample sets and relevant sub-sample periods allows for a more in-depth assessment of the nature and form of these drivers as well as their influence on risky asset return and volat

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9

Wan, Mahmood Wan Mansor. "Non-linear dependence of returns, volatility and trading volume in currency futures markets." Thesis, Bangor University, 1998. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.267141.

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10

Yoder, Tim. "Investigation in to nonlinear grasshoff number dependence of convection within a hot melt during directional solidification." Connect to this title online, 2005. http://hdl.handle.net/1811/311.

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Thesis (Honors)--Ohio State University, 2005.<br>Title from first page of PDF file. Document formattted into pages: contains 31 p.; also includes graphics. Includes bibliographical references (p. 31). Available online via Ohio State University's Knowledge Bank.

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11

Bourgeois, Raymond C. "Phonotactic orientation behavior of tethered flying crickets (Teleogryllus oceanicus) and its dependence on stimulus carrier frequency." Thesis, McGill University, 1985. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=63311.

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12

Vesterdal, Bjørn Erlend. "Volatility and Dependence in Fixed Income Forward Rates with Application to Market Risk of Derivative Portfolios." Thesis, Norwegian University of Science and Technology, Department of Mathematical Sciences, 2006. http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-9447.

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<p>This thesis explores the modeling of volatility and dependence in forward rates in the fixed income market for the purpose of risk estimation in derivative portfolios. A brief background on popular quantile-based risk measures is given. A short introduction is given to GARCH-type volatility models, as well as copula and vine models for dependence between random variables. Some details on parameter estimation and sampling related to these models are also provided. A backtesting procedure is performed using various combinations of volatility and dependence models. The results of this procedur

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13

Grothe, Oliver. "Contributions to short-term financial risk management : volatility in high frequency data, Lévy processes and the dependence of jumps /." Münster : Verl.-Haus Monsenstein und Vannerdat, 2008. http://d-nb.info/991504089/04.

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14

Griebenow, Gideon. "GARCH models based on Brownian Inverse Gaussian innovation processes / Gideon Griebenow." Thesis, North-West University, 2006. http://hdl.handle.net/10394/1019.

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In classic GARCH models for financial returns the innovations are usually assumed to be normally distributed. However, it is generally accepted that a non-normal innovation distribution is needed in order to account for the heavier tails often encountered in financial returns. Since the structure of the normal inverse Gaussian (NIG) distribution makes it an attractive alternative innovation distribution for this purpose, we extend the normal GARCH model by assuming that the innovations are NIG-distributed. We use the normal variance mixture interpretation of the NIG distribution to show that a

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15

Casas, Villalba Isabel. "Statistical inference in continuous-time models with short-range and/or long-range dependence." University of Western Australia. School of Mathematics and Statistics, 2006. http://theses.library.uwa.edu.au/adt-WU2006.0133.

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The aim of this thesis is to estimate the volatility function of continuoustime stochastic models. The estimation of the volatility of the following wellknown international stock market indexes is presented as an application: Dow Jones Industrial Average, Standard and Poor’s 500, NIKKEI 225, CAC 40, DAX 30, FTSE 100 and IBEX 35. This estimation is studied from two different perspectives: a) assuming that the volatility of the stock market indexes displays shortrange dependence (SRD), and b) extending the previous model for processes with longrange dependence (LRD), intermediaterange dependence

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16

Mandal, Anandadeep. "An empirical investigation of the determinants of asset return comovements." Thesis, Cranfield University, 2015. http://dspace.lib.cranfield.ac.uk/handle/1826/10184.

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Understanding financial asset return correlation is a key facet in asset allocation and investor’s portfolio optimization strategy. For the last decades, several studies have investigated this relationship between stock and bond returns. But, fewer studies have dealt with multi-asset return dynamics. While initial literature attempted to understand the fundamental pattern of comovements, later studies model the economic state variables influencing such time-varying comovements of primarily stock and bond returns. Research widely acknowledges that return distributions of financial assets are no

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17

Zhao, Ding. "Spherulitic Growth and Thermodynamic Equilibrium in Multicomponent Elastic Films Under Solvent-vapor Annealing." UKnowledge, 2018. https://uknowledge.uky.edu/math_etds/56.

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In this dissertation, we will study solvent-vapor induced spherulitic growth in multicomponent thin films modeled as prestressed elastic solids. The interface between the crystalline phase and the amorphous phase will be treated as an evolving thermodynamic system and no diffusion of any component will be considered. The dissertation is divided into three parts. In Part I we will determine necessary conditions of thermodynamic equilibrium between the two solid phases, the inter- face, and the vapor. In Part II we will derive the thermodynamic driving force for spherulitic growth in multicompon

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18

Mbome, M. S. "ESSAYS ON MACROECONOMIC VULNERABILITY FINANCIAL DEVELOPMENT AND ECONOMIC GROWTH." Doctoral thesis, Università degli Studi di Milano, 2016. http://hdl.handle.net/2434/382857.

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Many studies identified financial market deepening as supporting macroeconomic stability and long-term growth. However, the role of the financial sector in increasing and propagating shocks has been considered only by few studies. The aim of this thesis is to empirically assess the effects of output volatility on growth and the limits of the financial sector in generating long-term and stable growth. First, we reexamine the linkage between output volatility and economic growth, considering cross-section dependence and heterogeneity. By doing so, we use the common correlated effects mean gr

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19

Pesee, Chatchai. "Stochastic modelling of financial processes with memory and semi-heavy tails." Thesis, Queensland University of Technology, 2005. https://eprints.qut.edu.au/16057/2/Chatchai%20Pesee%20Thesis.pdf.

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This PhD thesis aims to study financial processes which have semi-heavy-tailed marginal distributions and may exhibit memory. The traditional Black-Scholes model is expanded to incorporate memory via an integral operator, resulting in a class of market models which still preserve the completeness and arbitragefree conditions needed for replication of contingent claims. This approach is used to estimate the implied volatility of the resulting model. The first part of the thesis investigates the semi-heavy-tailed behaviour of financial processes. We treat these processes as continuous-t

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20

Pesee, Chatchai. "Stochastic Modelling of Financial Processes with Memory and Semi-Heavy Tails." Queensland University of Technology, 2005. http://eprints.qut.edu.au/16057/.

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This PhD thesis aims to study financial processes which have semi-heavy-tailed marginal distributions and may exhibit memory. The traditional Black-Scholes model is expanded to incorporate memory via an integral operator, resulting in a class of market models which still preserve the completeness and arbitragefree conditions needed for replication of contingent claims. This approach is used to estimate the implied volatility of the resulting model. The first part of the thesis investigates the semi-heavy-tailed behaviour of financial processes. We treat these processes as continuous-t

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21

Duarte, Catarina Brito. "The effects of oil dependence on growth volatility." Master's thesis, 2017. http://hdl.handle.net/10362/22290.

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In this thesis, we analyze the relationship between dependence on oil exports and growth volatility, controlling for other determinants. We collect annual data from 1995 to 2015 on a sample of 42 oil net exporting countries and use the standard system generalized methods of moments (GMM) approach developed by Arellano and Bover (1995) and Blundell and Bond (1998). We also investigate the channels that moderate this effect through macroeconomic policies suggested by policymakers and we find evidence that supports the mitigating effect of financial development, institutional quality and human ca

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22

Chen, Chi-liang, and 陳紀良. "Studies on the long range dependence in stock return volatility and trading volume." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/38479150308696763471.

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碩士<br>國立中山大學<br>應用數學系研究所<br>92<br>Many empirical studies show that both equity volatility and its trading volume have long range dependence and can be modeled as fractional integrated processes. The objective of this study is to investigate relationship between volatility and volume.We adopt four estimators of volatility, which includes the squared log returns, historical volatility, iterative t estimators and $GARCH$ estimators. The results show that among the four estimators squared log returns usually have the largest integration orders and produce hightest ratios of fractional cointegratio

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23

Oh, Dong Hwan. "Copulas for High Dimensions: Models, Estimation, Inference, and Applications." Diss., 2014. http://hdl.handle.net/10161/8735.

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<p>The dissertation consists of four chapters that concern topics on copulas for high dimensions. Chapter 1 proposes a new general model for high dimension joint distributions of asset returns that utilizes high frequency data and copulas. The dependence between returns is decomposed into linear and nonlinear components, which enables the use of high frequency data to accurately measure and forecast linear dependence, and the use of a new class of copulas designed to capture nonlinear dependence among the resulting linearly uncorrelated residuals. Estimation of the new class of copulas is cond

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24

Samuel, Richard Abayomi. "Modelling equity risk and external dependence: A survey of four African Stock Markets." Diss., 2019. http://hdl.handle.net/11602/1356.

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Department of Statistics<br>MSc (Statistics)<br>The ripple e ect of a stock market crash due to extremal dependence is a global issue with key attention and it is at the core of all modelling e orts in risk management. Two methods of extreme value theory (EVT) were used in this study to model equity risk and extremal dependence in the tails of stock market indices from four African emerging markets: South Africa, Nigeria, Kenya and Egypt. The rst is the \bivariate-threshold-excess model" and the second is the \point process approach". With regards to the univariate analysis, the rst n

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