Sökning: "Tests for jumps"

Visar resultat 1 - 5 av 6 avhandlingar innehållade orden Tests for jumps.

  1. 1. Essays on Stock Market Integration - On Stock Market Efficiency, Price Jumps and Stock Market Correlations

    Detta är en avhandling från Umeå : Umeå University

    Författare :Yuna Liu; Umeå universitet.; [2016]
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Time-varying return predictability; Tests for jumps; International financial markets; Market structure; Common trading platform; Integration; Time-varying correlation; C-GARCH; Trust; Portfolio Diversification; Stock Market Participation; nationalekonomi; Economics;

    Sammanfattning : This thesis consists of four self-contained papers related to the change of market structure and the quality of equity market.In Paper [I] we found, by using of a Flexible Dynamic Component Correlations (FDCC) model, that the creation of a common cross-border stock trading platform has increased the long-run trends in conditional correlations between foreign and domestic stock market returns. LÄS MER

  2. 2. Essays on stochastic volatility

    Detta är en avhandling från Lund University

    Författare :Marcus Nossman; Lunds universitet.; Lund University.; [2009]
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; volatility; Contagion; jumps; risk premium; MCMC;

    Sammanfattning : Popular Abstract in Swedish Avhandlingen består av fem stycken artiklar som analyserar och estimerar finansiella prisprocesser. Alla artiklarna handlar också om stokastiska volatilitetsprocesser som estimeras med Bayesiansk statistik och Markov Chain Monte Carlo (MCMC) metoder. LÄS MER

  3. 3. Auri sacra fames : Interest Rates -- Prediction, Jumps and the Market Price of Risk

    Detta är en avhandling från Stockholm : Nationalekonomiska institutionen

    Författare :Carl Wilkens; Stockholms universitet.; [2005]
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; instantaneous interest rate; fixed income market; asset pricing; derivative pricing; SOCIAL SCIENCES Business and economics Economics; SAMHÄLLSVETENSKAP Ekonomi Nationalekonomi;

    Sammanfattning : This thesis consists of three essays investigating different aspects of interest rates."Prediction of Future Risk-Neutral Short-Term Interest Rate Densities: Can the Black, Derman and Toy Model Assist?" (Co-authored with David Vestin. LÄS MER

  4. 4. On Statistical Aspects of Modelling Financial Volatility

    Detta är en avhandling från Stockholm : Nationalekonomiska institutionen

    Författare :Farrukh Javed; Lunds universitet.; Lund University.; [2012]
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Causality Dynamic conditional correlation Jumps Mixed-data-sampling Volatility;

    Sammanfattning : This thesis is comprised of five papers that are all related to the subject of financial time series. We study statistical aspects of conditional heteroskedastic models commonly used in modelling financial volatility. Paper I discusses the performance of commonly known information criteria in the presence of various GARCH processes. LÄS MER

  5. 5. Physiological demands of competitive elite cross-country skiing

    Detta är en avhandling från Umeå : Umeå University

    Författare :Magnus Carlsson; Umeå universitet.; Högskolan Dalarna.; [2015]
    Nyckelord :MEDICIN OCH HÄLSOVETENSKAP; MEDICAL AND HEALTH SCIENCES; Performance capability; maximal oxygen uptake; lactate threshold; lean mass; double poling; power output; maximal speed; sprint skiing; distance skiing.; Health and Welfare; Hälsa och välfärd;

    Sammanfattning : Introduction Researchers have, for decades, contributed to an increased collective understanding of the physiological demands in cross-country skiing; however, almost all of these studies have used either non-elite subjects and/or performances that emulate cross-country skiing. To establish the physiological demands of cross-country skiing, it is important to relate the investigated physiological variables to the competitive performance of elite skiers. LÄS MER