Essays about: "Anton Agermark"

Found 2 essays containing the words Anton Agermark.

1. 1. Forecasting Exchange Rate Volatility. Applying HAR models and Implied Volatility in SEK denominated markets

   University essay from Göteborgs universitet/Graduate School

   Author : Anton Agermark; Visar Hoti; [2016-10-04]
   Keywords : forecasting; implied volatility; realized volatility; jump process; bipower variation; tripower variation; high-frequency data; FX;

   Abstract : In this paper we study a set of models' forecasting accuracy of realized volatility in two SEK denominated exchange rates, EUR/SEK and USD/SEK, with the purpose to analyze if ex-post or ex-ante forecasting models produce the most accurate forecasts. High-frequency exchange rate data is employed in order to construct the ex-post Heterogeneous Autoregressive Model of Realized Volatility, HAR-RV, as well as a modi ed model using the bipower and tripower variation to separate the continuous sample path (C) and the jump component (J) of realized volatility, HAR-CJ. READ MORE

3. 2. To peg or to join - Estimating the effects on bilateral trade of an EMU membership and a direct fixed exchange rate regime.

   University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Author : Anton Agermark; Daniel Albrektsson; [2014-03-28]
   Keywords : ;

   Abstract : This thesis report examines the impact on trade, within the European Union, of an EMU membership and a direct fixed exchange rate regime during the period 2003-2012. This has been done using the gravity model of trade and three different estimation techniques, the Pooled OLS model, the fixed effects model and the random effects model. READ MORE