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  1. 1. Essays on Time Series Analysis : With Applications to Financial Econometrics

    Författare :Daniel Preve; Rolf Larsson; Bent Nielsen; Uppsala universitet; []
    Nyckelord :NATURAL SCIENCES; NATURVETENSKAP; NATURVETENSKAP; NATURAL SCIENCES; non-Gaussian time series; nonnegative autoregression; robust estimation; strong convergence; realized volatility; volatility forecast; forecast comparison; Diebold-Mariano test; Statistics; Statistik;

    Sammanfattning : This doctoral thesis is comprised of four papers that all relate to the subject of Time Series Analysis.The first paper of the thesis considers point estimation in a nonnegative, hence non-Gaussian, AR(1) model. The parameter estimation is carried out using a type of extreme value estimators (EVEs). LÄS MER