Essays on economic sentiment dynamics and asymmetric multifractal models of financial volatility

vorgelegt von Stepan S. Sushko

Year of publication:	2021
Authors:	Sushko, Stepan S.
Other Persons:	Lux, Thomas (degree supervisor)
Institutions:	Christian-Albrechts-Universität zu Kiel (degree granting)
Publisher:	Kiel
Subject:	Continuous-time Markov Chain \| agent-based models \| EM-algorithm \| matrix exponential \| Maximum-likelihood estimation \| Kolmogorov forward equation \| transition probability estimation \| Hessenberg matrix \| calibration \| option pricing \| stylized facts \| Local Risk-Neutral Valuation Relationship \| martingale measure \| Monte Carlo simulations \| parallel computations on GPUs \| equity risk premium \| Finanzanalyse \| Financial analysis \| Theorie \| Theory \| Zeitreihenanalyse \| Time series analysis \| Markov-Kette \| Markov chain \| Volatilität \| Volatility \| Börsenkurs \| Share price \| Optionsgeschäft \| Option trading \| Agentenbasierte Modellierung \| Agent-based modeling \| Frühindikator \| Leading indicator \| Emotion \| Experten \| Experts