Hittade 2 avhandlingar innehållade ordet GARCH-processes.
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
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