Sökning: "Time series econometrics"

Visar resultat 1 - 5 av 33 avhandlingar innehållade orden Time series econometrics.

1. 1. Essays on Time Series Analysis : With Applications to Financial Econometrics

   Författare :Daniel Preve; Rolf Larsson; Bent Nielsen; Uppsala universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; non-Gaussian time series; nonnegative autoregression; robust estimation; strong convergence; realized volatility; volatility forecast; forecast comparison; Diebold-Mariano test; Statistics; Statistik;

   Sammanfattning : This doctoral thesis is comprised of four papers that all relate to the subject of Time Series Analysis.The first paper of the thesis considers point estimation in a nonnegative, hence non-Gaussian, AR(1) model. The parameter estimation is carried out using a type of extreme value estimators (EVEs). LÄS MER

3. 2. Common features in vector nonlinear time series models

   Författare :Dao Li; Sune Karlsson; Kenneth Carling; Thomas Holgersson; Örebro universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; nonliearity; time series; econometrics; smooth transition; common features; cointegration; forecasting; residual-based; ppp; Statistics; Statistik; Complex Systems – Microdata Analysis;

   Sammanfattning : This thesis consists of four manuscripts in the area of nonlinear time series econometrics on topics of testing, modeling and forecasting nonlinear common features. The aim of this thesis is to develop new econometric contributions for hypothesis testing and forecasting in thesearea.Both stationary and nonstationary time series are concerned. LÄS MER

4. 3. Searching for causal effects of road traffic safety interventions : applications of the interrupted time series design

   Författare :Carl Bonander; Ragnar Andersson; Finn Nilson; Claes Tingvall; Karlstads universitet; []
   Nyckelord :MEDICIN OCH HÄLSOVETENSKAP; MEDICAL AND HEALTH SCIENCES; Causal inference; Repeated measures; Methodology; Econometrics; Injury Epidemiology; Vulnerable Road Users; Time series analysis; Risk- och Miljöstudier; Risk and Environmental Studies;

   Sammanfattning : Traffic-related injuries represent a global public health problem, and contribute largely to mortality and years lived with disability worldwide. Over the course of the last decades, improvements to road traffic safety and injury surveillance systems have resulted in a shift in focus from the prevention of motor vehicle accidents to the control of injury events involving vulnerable road users (VRUs), such as cyclists and moped riders. LÄS MER

5. 4. Time series modelling of high frequency stock transaction data

   Författare :Shahiduzzaman Quoreshi; Kurt Brännäs; Per Johansson; Umeå universitet; []
   Nyckelord :Economics; Count data; Intra-day; High frequency; Time series; Estimation; Long memory; Finance; Nationalekonomi; Econometrics; ekonometri;

   Sammanfattning : .... LÄS MER

7. 5. Bootstrap inference in time series econometrics

   Författare :Mikael P. Gredenhoff; Handelshögskolan i Stockholm; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

   Sammanfattning : This dissertation contains five essays in the field of time series econometrics. The main issue discussed is the lack of coherence between small sample and asymptotic inference. Frequently, in modern econometrics distributional results are strictly only valid for a hypothetical infinite sample. LÄS MER