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Rozprawy doktorskie na temat „Volatility dependence”

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Data publikacji: 3 czerwca 2025
Data aktualizacji: 31 lipca 2025

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1

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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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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3

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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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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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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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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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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8

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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9

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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10

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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11

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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12

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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13

Bauer, Lawrence L. "Regime dependent conditional volatility in financial markets." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1999. http://www.collectionscanada.ca/obj/s4/f2/dsk1/tape7/PQDD_0021/NQ46805.pdf.

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14

Light, Michael. "Path-dependent volatility and the preservation of PDEs." Diss., University of Pretoria, 2016. http://hdl.handle.net/2263/60823.

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The classical theory of risk neutral derivative pricing relies on the underlying market model being Markovian and complete. We present the theory of stochastic di erential equations relevant to risk neutral pricing, with a particular focus on the Markov property and its links to partial di erential equations. We demonstrate when this classical theory can still be applied to derivative pricing in models with path dependent volatility. A link between these models and the local volatility framework is derived via the representation of local volatility as the conditional expectation of so
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15

Hofmann, Bernd, and Romy Krämer. "Maximum entropy regularization for calibrating a time-dependent volatility function." Universitätsbibliothek Chemnitz, 2004. http://nbn-resolving.de/urn:nbn:de:swb:ch1-200401213.

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We investigate the applicability of the method of maximum entropy regularization (MER) including convergence and convergence rates of regularized solutions to the specific inverse problem (SIP) of calibrating a purely time-dependent volatility function. In this context, we extend the results of [16] and [17] in some details. Due to the explicit structure of the forward operator based on a generalized Black-Scholes formula the ill-posedness character of the nonlinear inverse problem (SIP) can be verified. Numerical case studies illustrate the chances and limitations of (MER) versus Tikhonov reg
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16

Sookdeo, Shivan. "Path-dependent volatility: an application to the South African market." Master's thesis, University of Cape Town, 2017. http://hdl.handle.net/11427/27100.

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Industry and academia have thus far focussed on three classes of volatility models, namely, constant volatility, local volatility and stochastic volatility. Pathdependent volatility models are a lesser known class of models which possess the key characteristic of completeness together with the ability to generate a wide range of volatility dynamics with respect to the underlying asset (Guyon, 2014). This dissertation highlights the usefulness and practicality of these models for application in the South African market, while drawing comparisons with other widely used models. The tests cover bo
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17

Schwellnus, Adrian. "Linear-Rational Term Structure Models With Flexible Level-Dependent Volatility." Master's thesis, University of Cape Town, 2018. http://hdl.handle.net/11427/29215.

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The Linear-Rational Framework for the modelling of interest rates is a framework which allows for the addition of spanned and unspanned factors, while maintaining a lower bound on rates and tractable valuation of interest rate derivatives, particularly swaptions. The advantages of having all these properties are significant. This dissertation presents the Linear-Rational Framework, and specializes the factor process to a class of diffusion models which allows for the degree of state dependence of volatility to be estimated. This dissertation then finds that the estimated state dependent volati
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18

Schittenkopf, Christian, Georg Dorffner, and Engelbert J. Dockner. "Forecasting time-dependent conditional densities. A neural network approach." SFB Adaptive Information Systems and Modelling in Economics and Management Science, WU Vienna University of Economics and Business, 1999. http://epub.wu.ac.at/1082/1/document.pdf.

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In financial econometrics the modeling of asset return series is closely related to the estimation of the corresponding conditional densities. One reason why one is interested in the whole conditional density and not only in the conditional mean, is that the conditional variance can be interpreted as a measure of time-dependent volatility of the return series. In fact, the modeling and the prediction of volatility is one of the central topics in asset pricing. In this paper we propose to estimate conditional densities semi-nonparametrically in a neural network framework. Our recurrent mixture
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19

Tahir, Suleiman. "Crude oil price volatility and its impact on export dependent economies." Thesis, University of Hull, 2012. http://hydra.hull.ac.uk/resources/hull:14350.

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Motivated by the problem of crude oil price volatility, this research is examining interdependences between crude oil price and each of GDP, foreign account, gold price, futures price, and also, stock markets. The research was mainly directed at examining the impact of oil price volatility on the economic variables of the commodity’s export dependent economies, with particular reference to Nigeria. However the outcomes provide a framework for extensions and application to the economic conditions of net oil importing countries, other primary commodities, Sovereign Wealth Funds (SWFs) and crude
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20

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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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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22

Krämer, Romy. "Identification in Financial Models with Time-Dependent Volatility and Stochastic Drift Components." Doctoral thesis, Universitätsbibliothek Chemnitz, 2007. http://nbn-resolving.de/urn:nbn:de:swb:ch1-200700806.

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Die vorliegende Arbeit beschäftigt sich mit der Parameteridentifikation in finanzmathematischen Modellen, welche sich durch eine zeitabhängige Volatilitätsfunktion und stochastische Driftkomponente auszeichnen. Als Referenzmodell wird eine Variante des Bivariaten Ornstein-Uhlenbeck-Modells betrachtet. Ziel ist es, die zeitabhängige Volatilitätsfunktion sowohl in der Vergangenheit als auch für ein kleines zukünftiges Zeitintervall zu identifizieren. Weiterhin sollen einige reellwertige Parameter, welche die stochastische Drift beschreiben, bestimmt werden. Dabei steht nicht die Anpassung de
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23

Anderson, Larry. "The relationship between commodity price volatility and exchange rate stability in a single commodity dependent economy: The case of Zambia." Master's thesis, University of Cape Town, 2017. http://hdl.handle.net/11427/25642.

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This study examines the empirical relationship between monthly spot copper price movements and monthly Zambian Kwacha / US Dollar spot exchange rates, for the period January 2005 to February 2015. The ARDL bounds short-run estimate reveals there is both positive and negative coefficient interaction of copper price movements on the exchange rates in the short-run. However, the overall impact of copper prices on the exchange rate, is not significant in the short-run. The ARDL bounds test also confirms the presence of a long-run relationship between copper prices and the exchange rate. The coeffi
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24

RebouÃas, MÃrcio Heber Medeiros. "Modelagem das reservas internacionais Ãtimas no BRIC: tÃo heterogÃneos, tÃo dependentes." Universidade Federal do CearÃ, 2015. http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=15531.

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nÃo hÃ<br>O presente trabalho agrega à discussÃo da literatura teÃrica-empÃrica, seguindo conceitualmente Heller (1966), e alinhando-se a Calvo, Izquierdo e Loo-Kung (2012), e Alfaro e Kanczuk (2007; 2014), ao analisar as reservas internacionais dos paÃses que compÃem os BRIC, relativamente ao perÃodo de 1997 a 2013, com o intuito de associar o patamar otimizado de reservas a um instrumento gerencial de proteÃÃo (buffer) dos ativos pÃblicos, que funcionam como um amortecedor perante os desequilÃbrios do balanÃo de pagamentos, em funÃÃo de crises e sudden stops, dadas as evidÃncias prÃvias de c
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25

Casarin, Vanusa Andrea. "Avaliação da estabilidade do processo de lingotamento contínuo por meio de gráficos de controle com variáveis dependentes." reponame:Biblioteca Digital de Teses e Dissertações da UFRGS, 2012. http://hdl.handle.net/10183/77761.

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A presente pesquisa aborda a utilização de gráficos de controle em processo produtivo com variáveis autocorrelacionadas. Tem como objetivo verificar a estabilidade do processo de lingotamento contínuo na fabricação de tarugos por gráficos de controle aplicados aos resíduos oriundos da previsão dos modelos matemáticos por meio da modelagem linear e/ou não linear. Primeiramente, é observada a existência de correlação entre os dados, utilizandose, então, a Análise de Componentes Principais. Com os dados livres de correlação, testa-se a autocorrelação nas Componentes Principais. A partir desse ins
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26

Eriksson, Jonatan. "On the pricing equations of some path-dependent options." Doctoral thesis, Uppsala : Department of Mathematics, Univ. [distributör], 2006. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-6329.

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Theron, Nadia. "Aspects of some exotic options." Thesis, Link to the online version, 2007. http://hdl.handle.net/10019/1236.

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Schulz, Thorsten [Verfasser], Matthias [Akademischer Betreuer] [Gutachter] Scherer, Griselda [Gutachter] Deelstra, and Ralf [Gutachter] Werner. "Stochastic dependencies in derivative pricing: Decoupled BNS-volatility, sequential modeling of jumps, and extremal WWR / Thorsten Schulz ; Gutachter: Matthias Scherer, Griselda Deelstra, Ralf Werner ; Betreuer: Matthias Scherer." München : Universitätsbibliothek der TU München, 2017. http://d-nb.info/1147566003/34.

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29

Kamal, Ahmad Waqas. "A Hierarchical Approach to Software Testing." Thesis, Blekinge Tekniska Högskola, Avdelningen för programvarusystem, 2006. http://urn.kb.se/resolve?urn=urn:nbn:se:bth-4889.

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To produce high quality software both software developers and testers need continuous improvement in their work methodologies and processes. So, far much work has been done in the effective ways of eliciting and documenting the requirements. However important aspect is to make sure that whatever is documented in specifications actually works correctly in the developed software. Software testing is done to ensure this phenomenon. Aim of this thesis is to develop a software test case work flow strategy that helps in identification and selection of suitable test paths that can be used as an input
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30

Jebabli, Ikram. "Essays on the transmission of shocks between financial, energy and food markets : transmission channels, measurement, effets and management." Thesis, Université Clermont Auvergne‎ (2017-2020), 2017. http://theses.bu.uca.fr/nondiff/2017CLFAD007_JEBABLI.pdf.

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Cette thèse par essais a pour objectif de contribuer à une meilleure compréhension de la transmission au marché alimentaire des chocs provenant des marchés financier et énergétique. Le premier essai étudie l’efficience du marché alimentaire. Le deuxième essai examine les transmissions de rendements et de volatilités entre les trois marchés. Quant au troisième essai, il s’intéresse à l’analyse de la dépendance extrême entre ces marchés. Nos principaux résultats permettent de souligner l’impact de la crise financière de 2007-2008 et la financiarisation des marchés de commodités dans l’intensific
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Mornet, Alexandre. "Contributions à l'évaluation des risques en assurance tempête et automobile." Thesis, Lyon 1, 2015. http://www.theses.fr/2015LYO10151/document.

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Dans cette thèse, nous étudions la garantie tempête consacrée aux dommages causés par le vent et un développement de l'assurance comportementale à travers le risque automobile. Nous associons des informations extérieures comme la vitesse du vent aux données de l'assurance. Nous proposons la construction d'un indice tempête pour compléter et renforcer l'évaluation des dégâts causés par les tempêtes majeures. Nous définissons ensuite un partage du territoire français en 6 zones tempêtes, dépendant des corrélations extrêmes de vent, pour tester plusieurs scénarios. Ces différents tests et considé
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32

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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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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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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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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Ding, Lei Yi, and 雷衣鼎. "Option Pricing with Variance-Dependent Pricing Kernel under Multiple Volatility Components Model." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/b6rq33.

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碩士<br>東吳大學<br>財務工程與精算數學系<br>102<br>We take a similar form of pricing kernel which developed by Christoffersen et al (2013) to extend the multiple volatility components model. By that way, we can obtain a more elaborate model which also explains some puzzles in the market. Apart from that, a surprise result is we don't need to estimate full parameters in model. Instead of that, we estimate the scaling factor which plays an important role when changing of measure. Empirical tests demonstrate the well ability of generalized model when reconcile time series properties of stock returns with the opt
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Krämer, Romy [Verfasser]. "Identification in financial models with time-dependent volatility and stochastic drift components / vorgelegt von Romy Krämer." 2007. http://d-nb.info/984819231/34.

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