Sökning: "Farrukh Javed"

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1. 1. On Statistical Aspects of Modelling Financial Volatility

   Författare :Farrukh Javed; Statistiska institutionen; []
   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