Essays about: "Stylized facts"

Showing result 1 - 5 of 17 essays containing the words Stylized facts.

  1. 1. Artificial Intelligence for Option Pricing

    University essay from Göteborgs universitet/Institutionen för matematiska vetenskaper

    Author : Emil Hietanen; [2022-06-19]
    Keywords : Options; calls; puts; pricing; artificial neural networks; models; volatility; comparison;

    Abstract : This thesis addresses the issue of vulnerable underlying assumptions used in option pricing methodology. More precisely; underlying assumptions made on the financial assets and markets make option pricing theory vulnerable to changes in the financial framework. READ MORE

  3. 2. Investigating some GARCH(1,1)-type value-at-risk models pre-Covid-19 and intra-Covid-19

    University essay from Linnéuniversitetet/Institutionen för matematik (MA)

    Author : Benjamin Ringdahl; [2021]
    Keywords : ;

    Abstract : Value-at-risk quantifies the amount of capital needed to handle future losses on investments at a given confidence level. The Covid-19 pandemic greatly increased market volatility, which motivates us to investigate value-at-risk models during this time period. READ MORE

  4. 3. Modeling asymmetry in volatility response - non-Gaussian innovations approach

    University essay from Lunds universitet/Statistiska institutionen

    Author : Ludvig Göransson; [2020]
    Keywords : ARCH; GARCH; APARCH; Asymmetric GARCH; non-Gaussian innovations; Laplace distribution; Leverage effect; Stylized facts; Volatility process.; Mathematics and Statistics;

    Abstract : This thesis is an explorative note on the non-Gaussian innovations of the volatility process. More specifically, the thesis investigates if the decomposition of the Standard Classical Laplace (SCL) distribution to a difference of two exponential is a valid alternative to modelling the asymmetric volatility processes, taking volatility clustering, the leverage effect and asymmetric response in volatility into account. READ MORE

  5. 4. Emission Allowances in the European Union Emissions Trading System

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Franziska Manke; [2020]
    Keywords : Emission Allowances; EU ETS; Volatility; GARCH; Cointegration;

    Abstract : The first part of the thesis analyses the short term behavior of daily emission allowance (EUA) log returns with a focus on volatility dynamics in the recent market environment. In this part, I present a historical overview of the European Union Emission Trading System (EU ETS), analyze the stylized facts of the time series, employ appropriate time series models, and assess model in-sample and out-of-sample performance. READ MORE

  6. 5. How to Avoid Bankruptcy?: Monte Carlo Simulation of Three Financial Markets, using the Multifractal Model of Asset Returns

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Rostislav Sibirtsev; [2019]
    Keywords : Multifractal Model of Asset Returns MMAR ; Simulation; Fractal; Kurtosis; Dependence;

    Abstract : This paper has been an effort to apply fractal mathematics to understanding the general behaviour of financial markets. Fractals are special shapes that look similar at various scales. The specific model used is called the Multifractal Model of Asset Returns (MMAR) - the first ever model used for multifractal financial analysis. READ MORE