Sökning: "Time-varying correlation"
Visar resultat 1 - 5 av 18 avhandlingar innehållade orden Time-varying correlation.
1. Essays on Stock Market Integration - On Stock Market Efficiency, Price Jumps and Stock Market Correlations
Sammanfattning : This thesis consists of four self-contained papers related to the change of market structure and the quality of equity market.In Paper [I] we found, by using of a Flexible Dynamic Component Correlations (FDCC) model, that the creation of a common cross-border stock trading platform has increased the long-run trends in conditional correlations between foreign and domestic stock market returns. LÄS MER
Sammanfattning : The focus of this thesis is to explore and use the benefits of time-varying excitation in fluorescence spectroscopy for studies of biomolecular dynamics. Two new techniques taking advantage of modulated excitation are presented. LÄS MER
3. Improving strategic decisions for real estate investors : Perspectives on allocation and management
Sammanfattning : Real estate is an attractive asset class in the mixed-asset portfolio due to favorable risk return characteristics and low correlations with other asset classes like stock and bonds. Unlike financial assets, real estate is a physical asset where large lot sizes/indivisibility, heterogeneity, low liquidity and high transaction costs make applying financial models like modern portfolio theory (MPT) challenging. LÄS MER
4. Dynamic Load Models for Power Systems - Estimation of Time-Varying Parameters During Normal Operation
Sammanfattning : Economic and environmental concerns will slow down the expansion of the transmission system in many countries. The addition of new transmission lines will be few and far between. The de-regulation of the power supply will introduce new power flow patterns on the bulk transmission systems. LÄS MER
Sammanfattning : This thesis considers statistical methods for non-stationary signals, specifically stochastic modelling, inference on the model parameters and optimal spectral estimation. The models are based on Silverman’s definition of Locally Stationary Processes (LSPs). LÄS MER