Topics in financial econometrics

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dc.contributor.authorTsiakmakis, Dimitriosen
dc.date.accessioned2025-02-14T12:01:26Z
dc.date.available2025-02-14T12:01:26Z
dc.identifier.urihttps://olympias.lib.uoi.gr/jspui/handle/123456789/38768
dc.rightsAttribution-NonCommercial-NoDerivs 3.0 United States*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/us/*
dc.subjectFinancial econometricsen
dc.subjectStochastic modelsen
dc.subjectForecastsen
dc.subjectStock pricesen
dc.subjectInterest ratesen
dc.titleTopics in financial econometricsen
dc.typemasterThesisen
heal.abstractThe current thesis covers two topics focusing on Financial Econometrics. The first topic is forecasting stock market prices using two stochastic models: Geometric Brownian Motion and Heston Stochastic Volatility models. The second topic is forecasting interest rates using three stochastic models: Ornstein-Uhlenbeck, Cox-Ingersoll-Ross and Vasicek models. The theoretical and empirical framework for each model is covered in every chapter, as well as the data and methodology used. The results of each empirical finding is shown in the end of every chapter and the code used is shown in the Appendix. The main objective of the aforementioned stochastic models is to capture the randomness that the financial assets follow, make a robustness check by taking into account each other’s deficiencies and enhance the accuracy of the results by comparing their findings.en
heal.academicPublisherΠανεπιστήμιο Ιωαννίνων. Σχολή Οικονομικών και Διοικητικών Επιστημών. Τμήμα Οικονομικών Επιστημών.el
heal.academicPublisherIDuoi
heal.accessfree
heal.advisorNameSimos, Theodoreen
heal.bibliographicCitationAPAen
heal.classificationFinancial econometrics
heal.committeeMemberNameΣίμος, Θεόδωροςel
heal.committeeMemberNameΠαναγιώτου, Δημήτριοςel
heal.committeeMemberNameΓρηγοριάδης, Βασίλειοςel
heal.dateAvailable2025-02-14T12:02:26Z
heal.fullTextAvailabilitytrue
heal.languageen
heal.numberOfPages70
heal.publicationDate2025-01
heal.recordProviderΠανεπιστήμιο Ιωαννίνων. Σχολή Οικονομικών και Διοικητικών Επιστημών. Τμήμα Οικονομικών Επιστημών.el
heal.typemasterThesis
heal.type.elΜεταπτυχιακή εργασίαel
heal.type.enMaster thesisen

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