Sökning: "Ghazi Shukur"

Visar resultat 11 - 15 av 15 avhandlingar innehållade orden Ghazi Shukur.

1. 11. Issues of multicollinearity and conditional heteroscedasticy in time series econometrics

   Författare :Kristofer Månsson; Ghazi Shukur; Sneh Gulati; Jönköping University; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

   Sammanfattning : This doctoral thesis consists of four chapters all related to the field of time series econometrics. The main contribution is firstly the development of robust methods when testing for Granger causality in the presence of generalized autoregressive conditional heteroscedasticity (GARCH) and causality-in-variance (i.e. spillover) effects. LÄS MER

3. 12. Essays on the Scandinavian Stock Markets

   Författare :Jonas Söderberg; Ghazi Shukur; Carsten Tanggaard; Växjö universitet; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Scandinavian stock markets; Liquidity; Market microstructure theory; Liquidity spillover; Vector autoregression analysis; Forecasting; Out-of-sample tests; Copulas; Risk management; Economics; Nationalekonomi; Economics; Nationalekonomi;

   Sammanfattning : This thesis consists of three self-contained empirical essays related to the stock markets in Denmark, Norway, and Sweden.In Essay I, the time-series dynamics of liquidity on the Scandinavian stock exchanges between January 1993 and June 2005 are studied with liquidity indices. LÄS MER

4. 13. (Il)liquidity on the Scandinavian Stock Exchange

   Författare :Jonas Söderberg; Ghazi Shukur; Ken Bechmann; Växjö universitet; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Finance; Liquidity; Order-driven stock exchanges; Economics; Nationalekonomi; Economics; Nationalekonomi;

   Sammanfattning : The time-series dynamics of liquidity on the Scandinavian stock exchanges between January 1993 and June 2005 are studied with an (il)liquidity index, based on the measures in Amihud (2002) and Lesmond, Ogden and Trzcinka (1999). The relationships between return, volatility, trading activity, and liquidity are examined in a VAR framework within these purely order-driven stock exchanges. LÄS MER

5. 14. Developing Median Regression for SURE Models : With Application to 3-Generation Immigrants' Data in Sweden

   Författare :Zangin Zeebari; Ghazi Shukur; Håkan Locking; Växjö universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Statistics; computer and systems science; Statistik; data- och systemvetenskap; Computer and Information Sciences Computer Science; Data- och informationsvetenskap;

   Sammanfattning : .... LÄS MER

7. 15. On Median and Ridge Estimation of SURE Models

   Författare :Zangin Zeebari; Ghazi Shukur; Thomas Holgersson; Björn Holmquist; Jönköping University; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

   Sammanfattning : This doctoral dissertation is a progressive generalization of some of the robust estimation methods in order to make those methods applicable to the estimation of the Seemingly Unrelated Regression Equations (SURE) models. The robust methods are each of the Least Absolute Deviations (LAD) estimation method, also known as the median regression, and the ridge estimation method. LÄS MER