Sökning: "Gustaf E. Hagerud"

Hittade 1 avhandling innehållade orden Gustaf E. Hagerud.

1. 1. A new non-linear GARCH model

   Författare :Gustaf E. Hagerud; Handelshögskolan i Stockholm; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

   Sammanfattning : This dissertation contains four papers in the field of financial econometrics. In the first paper, A Smooth Transition ARCH Model for Asset Returns, a new class of ARCH models is introduced. The model class allows for non-linearity in the equation for the conditional variance. LÄS MER