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  1. 1. Modeling the covariance matrix of financial asset returns

    Författare :Gustav Alfelt; Joanna Tyrcha; Taras Bodnar; Vasyl Golosnoy; Stockholms universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Realized covariance; Autoregressive time-series; Goodness-of-fit test; Matrix singularity; Portfolio theory; Wishart distribution; Matrix-variate gamma distribution; Parameter estimation; High-dimensional data; Moore-Penrose inverse; matematisk statistik; Mathematical Statistics;

    Sammanfattning : The covariance matrix of asset returns, which describes the fluctuation of asset prices, plays a crucial role in understanding and predicting financial markets and economic systems. In recent years, the concept of realized covariance measures has become a popular way to accurately estimate return covariance matrices using high-frequency data. LÄS MER

  3. 2. Discrete Stochastic Time-Frequency Analysis and Cepstrum Estimation

    Författare :Johan Sandberg; Matematisk statistik; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; ambiguity domain; time-frequency analysis; time-frequency representations; covariance function; non-stationary random processes; Speaker recognition; MFCC; cepstrum;

    Sammanfattning : The theory of stochastic time-frequency analysis of non-stationary random processes has mostly been developed for processes in continuous time. In practice however, random processes are observed, processed, and interpreted at a finite set of time points. LÄS MER

  4. 3. Modeling Realized Covariance of Asset Returns

    Författare :Gustav Alfelt; Joanna Tyrcha; Taras Bodnar; Tatjana von Rosen; Stockholms universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Mathematical Statistics; matematisk statistik;

    Sammanfattning : In this thesis, which consists of two papers, we consider the modeling of positive definitive symmetric matrices, in particular covariance matrices of financial asset returns. The return covariance matrix describes the magnitude in which prices of financial assets tend to change over time, and how price changes between different assets are related. LÄS MER

  5. 4. Studies in Estimation of Patterned Covariance Matrices

    Författare :Martin Ohlson; Timo Koski; Dietrich von Rosen; Augustyn Markiewicz; Linköpings universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; MATHEMATICS; MATEMATIK;

    Sammanfattning : Many testing, estimation and confidence interval procedures discussed in the multivariate statistical literature are based on the assumption that the observation vectors are independent and normally distributed. The main reason for this is that often sets of multivariate observations are, at least approximately, normally distributed. LÄS MER

  7. 5. Ambiguity Domain Definitions and Covariance Function Estimation for Non-Stationary Random Processes in Discrete Time

    Författare :Johan Sandberg; Matematisk statistik; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

    Sammanfattning : The ambiguity domain plays a central role in estimating the time-varying spectrum of a non-stationary random process in continuous time, since multiplication in this domain is equivalent with estimating the covariance function of the random process using an intuitively appealing estimator. For processes in discrete time there exists a corresponding covariance function estimator. LÄS MER