Sökning: "conditional unconditional variance"
Hittade 4 avhandlingar innehållade orden conditional unconditional variance.
1. Four essays on the econometric modelling of volatility and durations
Sammanfattning : The thesis "Four Essays on the Econometric Modelling of Volatility and Durations" consists of four research papers in the area of financial econometrics on topics of the modelling of financial market volatility and the econometrics of ultra-high-frequency data. The aim of the thesis is to develop new econometric methods for modelling and hypothesis testing in these areas. LÄS MER
2. Statistical properties of GARCH processes
Sammanfattning : This dissertation contains five chapters. An introduction and a summary of the research are given in Chapter 1. The other four chapters present theoretical results on the moment structure of GARCH processes. Some chapters also contain empirical examples in order to illustrate applications of the theory. LÄS MER
3. Essays on Income Risk, Portfolio Choices and the Macroeconomy
Sammanfattning : Business cycle asymmetry of earnings pass-throughHow does the firm's role as an insurance provider vary over the business cycle? Using Swedish administrative data, I document that idiosyncratic firm productivity shocks are passed through workers' earnings asymmetrically. In non-recessions, firms are good insurers against negative shocks. LÄS MER
4. Essays on Financial Markets
Sammanfattning : This thesis consists of five empirical essays dealing with different issues related to financial markets. Chapter 2 studies a new multivariate technique, Orthogonal GARCH, of forecasting large covariance matrices based on GARCH models. LÄS MER