Sökning: "GARCH-processes"

Hittade 2 avhandlingar innehållade ordet GARCH-processes.

  1. 1. Empirical Studies of the Market Microstructure on the Swedish Stock Exchange

    Författare :Lars Nordén; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Konjunkturteori; GARCH-processes; Cyclical economics; conditional unconditional variance; intradaily returns; transaction data; extended trading time; index arbitrage; trading non-trading time; OMX-forwards; OMX-index; Market microstructure; cykliska förlopp; the Stockholm Stock Exange;

    Sammanfattning : This thesis consists of five studies on empirical aspects of the market microstructure on the Stockholm Stock Exchange (StSE). The first study presents a stock pricing model which talkes trading and non-trading time effects into account. LÄS MER

  2. 2. On Statistical Aspects of Modelling Financial Volatility

    Författare :Farrukh Javed; Statistiska institutionen; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; 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