Essays on Risk Modeling: Applications to Portfolio and Risk Management

Daniel Djupsjöbacka

Essays on Risk Modeling: Applications to Portfolio and Risk Management

Daniel Djupsjöbacka

Finance, Vaasa

Research output: Thesis › Doctoral Thesis › Monograph

Original language	English
Place of Publication	Helsinki
Publisher	Swedish School of Economics and Business Administration
Print ISBNs	951-555-906-5
Electronic ISBNs	951-555-907-3
Publication status	Published - 2006
MoE publication type	G4 Doctoral dissertation (monograph)

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http://www.hanken.fi/portals/pubmanager/pdf/156-951-555-907-3.pdf

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Cite this

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title = "Essays on Risk Modeling: Applications to Portfolio and Risk Management",

author = "Daniel Djupsj{\"o}backa",

note = "Return dependency, Monte Carlo Simulation, Bull and Bear Markets, Random Walk hypothesis, Realized variance, Realized volatility, High frequency data, Fractional integration, Volatility modeling, Volatility forecasting, Market microstructure, Autocorrelation, Sampling frequency. Volume: Proceeding volume: ",

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language = "English",

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