Browsing by Subject "Volatilität"

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  • Essays on financial time series with a focus on high-frequency data 
    Becker, Janis (Hannover : Institutionelles Repositorium der Leibniz Universität Hannover, 2020)
    This thesis contains six essays on financial time series. Special attention is paid to the opportunities that high-frequency data offers for modeling and forecasting the return and the risk, measured by the volatility or ...
  • Essays on fractional cointegration and spurious long memory 
    Afzal, Alia (Hannover : Institutionelles Repositorium der Leibniz Universität Hannover, 2019)
    This thesis contains four essays on fractional cointegration and spurious long memory following the introduction and related literature in the first chapter. Chapter 2 provides an analysis of fractional integration and ...
  • Essays on persistence and volatility in financial time series 
    Hirsch, Tristan (Hannover : Institutionelles Repositorium der Leibniz Universität Hannover, 2023)
    This thesis contains four essays on persistence change tests and non-stationarity tests. Persistence change tests are analysed under non-standard conditions and a new family of tests to detect changes in persistence and ...
  • Tail risk and long memory in financial markets 
    Nguyen, Duc Binh Benno (Hannover : Institutionelles Repositorium der Leibniz Universität Hannover, 2018)
    This thesis investigates the tail risk properties and long memory in financial markets and implications for asset pricing and hedging.
  • Volatility and systematic risks in financial markets 
    Würsig, Christoph (Hannover : Institutionelles Repositorium der Leibniz Universität Hannover, 2022)
    This thesis investigates different volatility risk measures, interdependencies between the risk measures and macroeconomic determinants, and the connection between systematic risk and market power in financial markets. In ...