Sökning: "Multivariate GARCH"

Visar resultat 1 - 5 av 14 avhandlingar innehållade orden Multivariate GARCH.

  1. 1. Essays on Financial Markets

    Författare :Hans Byström; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Electricity Futures; Option Pricing; Compass Rose; Covariance Matrix; Chaos; Stochastic Volatility; Financial Markets; GARCH; Financial science; Finansiering;

    Sammanfattning : This thesis consists of five empirical essays dealing with different issues related to financial markets. Chapter 2 studies a new multivariate technique, Orthogonal GARCH, of forecasting large covariance matrices based on GARCH models. LÄS MER

  3. 2. Time Varying Parameters in Exchange Rate Models

    Författare :Richard Henricsson; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; economic systems; economic theory; econometrics; Economics; stochastich volatility.; purchasing power parity; GARCH; exchange rates; Stationarity; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik;

    Sammanfattning : This thesis consists of five papers on different aspects of parametervariation in some common exchange rate models.The first paper investigates the stability in the real exchange rate, witch is equivalent to purchasing power parity (PPP). LÄS MER

  4. 3. On Risk Prediction

    Författare :Carl Lönnbark; Kurt Brännäs; Stefan Mittnik; Umeå universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Finance; Time series; GARCH; Estimation error; Asymmetry; Supply and demand; Econometrics; Ekonometri; ekonometri; Econometrics;

    Sammanfattning : This thesis comprises four papers concerning risk prediction. Paper [I] suggests a nonlinear and multivariate time series model framework that enables the study of simultaneity in returns and in volatilities, as well as asymmetric effects arising from shocks. LÄS MER

  5. 4. Back on the map : essays on financial markets in the Baltic States

    Författare :Albina Soultanaeva; Kurt Brännäs; Hossein Asgharian; Umeå universitet; []
    Nyckelord :Financial Markets; Time series; GARCH; Asymmetry; News; nationalekonomi; Economics;

    Sammanfattning :  This thesis consists of five self-contained papers, which are all related to the financial markets in the three Baltic States, Estonia, Latvia and Lithuania.  Paper [I] studies the impact of news from the Moscow and New York stock exchanges on the returns and volatilities of the Baltic States' stock market indices using a time series model that accounts for asymmetries in the conditional mean and variance functions. LÄS MER

  7. 5. Essays on Interdependencies in Emerging Markets

    Författare :Anders C Johansson; Göteborgs universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Paper 1:Bond markets; Asia; Cointegration; Multivariate GARCH; Dynamic correlation. Paper 2: Exchange rates; Stock markets; Asia; Causality; Wavelet analysis; Timescales; Heterogenous markets;

    Sammanfattning : .... LÄS MER