Sökning: "ARCH- GARCH-models"

Hittade 3 avhandlingar innehållade orden ARCH- GARCH-models.

1. 1. Essays on Exchange Rates and Central Bank Credibility

   Författare :Per-Ola Maneschiöld; Göteborgs universitet; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; ARCH- GARCH-models; Central bank credibility; Exchange rates; GPH-estimator; Interest differentials; Long memory; Sweden;

   Sammanfattning : .... LÄS MER

3. 2. A new non-linear GARCH model

   Författare :Gustaf E. Hagerud; Handelshögskolan i Stockholm; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

   Sammanfattning : This dissertation contains four papers in the field of financial econometrics. In the first paper, A Smooth Transition ARCH Model for Asset Returns, a new class of ARCH models is introduced. The model class allows for non-linearity in the equation for the conditional variance. LÄS MER

4. 3. Properties and evaluation of volatility models

   Författare :Hans Malmsten; Handelshögskolan i Stockholm; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

   Sammanfattning : The general theme of this thesis is theoretical properties and evaluation of volatility models. The thesis consists of four papers. In the first chapter the moment structure of the EGARCH model is derived. The second chapter contains new results on the A-PARCH model. LÄS MER