Zobrazeno 1 - 10
of 39
pro vyhledávání: '"Lönnbark, Carl"'
Autor:
Lönnbark, Carl
This thesis comprises four papers concerning risk prediction. Paper [I] suggests a nonlinear and multivariate time series model framework that enables the study of simultaneity in returns and in volatilities, as well as asymmetric effects arising fro
Externí odkaz:
http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-22200
Publikováno v:
In Finance Research Letters March 2013 10(1):27-33
Publikováno v:
In Finance Research Letters 2011 8(2):59-68
Autor:
Lönnbark, Carl1 carl.lonnbark@econ.umu.se
Publikováno v:
Empirical Economics. Jun2016, Vol. 50 Issue 4, p1409-1419. 11p.
Autor:
Lönnbark, Carl1 (AUTHOR) carl.lonnbark@econ.umu.se
Publikováno v:
Quantitative Finance. Jun2016, Vol. 16 Issue 6, p947-968. 22p.
Autor:
Lönnbark, Carl1 (AUTHOR) carl.lonnbark@econ.umu.se
Publikováno v:
Applied Economics Letters. Aug2010, Vol. 17 Issue 12, p1193-1196. 4p. 1 Chart, 1 Graph.
Autor:
Lönnbark, Carl
We introduce the notions of short and long term asymmetric effects in volatilities. With short term asymmetry we mean the conventional one, i.e. the asymmetric response of current volatility to the most recent return shocks. However, there may be asy
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::38e221341c9bc9a41bb3cb907787d3fb
http://www.econ.umu.se/DownloadAsset.action?contentId=198813&languageId=3&assetKey=ues848
http://www.econ.umu.se/DownloadAsset.action?contentId=198813&languageId=3&assetKey=ues848
Autor:
Hellström, Jörgen, Lönnbark, Carl
The paper outlines and tests, by means of Monte-Carlo simulations, a simple strategy of using existing non-parametric tests for jumps at the daily frequency to identify jumps at higher sampling frequencies. The suggested strategy allow for identifica
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::ea9da8b975f3ccd6f6ded0deb1e7be03
http://www.econ.umu.se/DownloadAsset.action?contentId=160818&languageId=3&assetKey=ues827
http://www.econ.umu.se/DownloadAsset.action?contentId=160818&languageId=3&assetKey=ues827
We argue that the practise used in the valuation of the portfolio is important for the calculation of the Value at Risk. In particular, when liquidating a large portfolio the seller may not face horizontal demand curves. We propose a partially new ap
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::41050fbf77d5da510eaf52a717af5705
http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-22199
http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-22199