Essays about: "Time-varying Moments"

Showing result 1 - 5 of 6 essays containing the words Time-varying Moments.

  1. 1. Pricing power and time-variation of global factor proxies

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Usama Malik; [2020]
    Keywords : international asset pricing; financial integration; Stochastic Discount Factor; pricing power; time-variation; Business and Economics;

    Abstract : The marginal pricing power and individual impact of proxies used in international asset pricing and financial integration studies is not well researched. In this study I look at the most widely used proxies; i.e. World Index Return, change in Eurodollar rate, change in spread between 10-year U. READ MORE

  3. 2. A study on load balancing within microservices architecture

    University essay from Högskolan i Halmstad/Akademin för informationsteknologi

    Author : Alexander Sundberg; [2019]
    Keywords : ;

    Abstract : This study addresses load balancing algorithms for networked systems with microservices architecture. In microservices applications, functionality and logic have been split into small pieces referred to as services. READ MORE

  4. 3. IR spectroscopy for vibrational modes : A semi-classical approach based on classical electrodynamicsand modern quantum mechanics

    University essay from Linnéuniversitetet/Institutionen för fysik och elektroteknik (IFE)

    Author : Ulf Oreborn; [2018]
    Keywords : ;

    Abstract : The atoms of a molecule are always restless and are constantly moving in one way or another.Apart from rotations and translations, they may vibrate in many different modes. They may moveradially toward or from each other, so called stretching. This can be done symmetrically or asymmetrically. READ MORE

  5. 4. Studying dynamics in risk-neutral skewness using a Gauss-Hermite expansion on S&P 500 index options

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Dennis Facius; Mohit Rakyan; [2017]
    Keywords : Options; Risk-neutral density; Gauss-Hermite expansion; Skewness;

    Abstract : Building on a new method of pricing options by modelling the underlying risk-neutral distribution with 'physicist' Hermite polynomials, we assess the properties of these distributions over time. We employ a set of S&P 500 index options ranging from 2007 to 2016. READ MORE

  6. 5. A Simulation Study comparing MCMC, QML and GMM Estimation of the Stochastic Volatility Model

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Carl Nilsson; [2016]
    Keywords : Monte Carlo simulation; stochastic volatility; Markov chain Monte Carlo; quasi-maximum likelihood; generalized method of moments; Business and Economics;

    Abstract : The stochastic volatility (SV) model is an alternative to GARCH models to model time varying volatility. In this thesis the basic stochastic volatility model and three different estimation methods are described---namely, Bayesian Markov chain Monte Carlo (MCMC) methods, quasi maximum-likelihood (QML) and generalized method of moments (GMM). READ MORE