Essays about: "volatilitets-återkopplings-teori"
Found 1 essay containing the word volatilitets-återkopplings-teori.
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1. Particle-based Stochastic Volatility in Mean model
University essay from KTH/Matematisk statistikAbstract : This thesis present a Stochastic Volatility in Mean (SVM) model which is estimated using sequential Monte Carlo methods. The SVM model was first introduced by Koopman and provides an opportunity to study the intertemporal relationship between stock returns and their volatility through inclusion of volatility itself as an explanatory variable in the mean-equation. READ MORE
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