Essays about: "Kristoffer Blomqvist"

Found 2 essays containing the words Kristoffer Blomqvist.

1. 1. The Relative Performance of Conditional Volatility Models - An Empirical Evaluation on the Nordic Equity Markets

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Kristoffer Blomqvist; [2014]
   Keywords : Volatility components; forecasting; long-run volatility effects; explanatory power; conditional volatility; Business and Economics;

   Abstract : By regressing volatility series of equity returns on macroeconomic variables using data from the Nordic countries, three conditional volatility models are evaluated on their ability to capture effects of long-run volatility shocks. In addition, the same models' short-run forecasting performance is tested by employing a rolling window approach. READ MORE

3. 2. Volatility Patterns and Idiosyncratic Risk on the Swedish Stock Market

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Kristoffer Blomqvist; [2013]
   Keywords : Idiosyncratic volatility; volatility decomposition; stock market volatility; predictive power; industry volatility; Business and Economics;

   Abstract : Using the methodology introduced by Campbell et al. (2001), we decompose and evaluate the historical volatility patterns of the Swedish stock market in the time period 1985 - 2012. READ MORE