Sökning: "essays on financial time series"

Visar resultat 1 - 5 av 24 avhandlingar innehållade orden essays on financial time series.

  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. 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

  4. 3. 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

  5. 4. Essays on financial time series models : Stochastic volatility and long memory

    Författare :Jonas Andersson; Uppsala universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Informatics; computer and systems science; Informatik; data- och systemvetenskap; Informatics; computer and systems science; Informatik; data- och systemvetenskap; statistik; Statistics;

    Sammanfattning : This work consists of five articles about the statistical aspects of financial time series models. The first three papers investigate and develop the inverse normal Gaussian stochastic volatility (NIGSV) model, initially suggested by Barndorff- Nielsen (1997). LÄS MER

  7. 5. Essays on Macroeconomics

    Författare :José Elías Gallegos Dago; Per Krusell; Alexandre Kohlhas; Gaetano Gaballo; Stockholms universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Macroeconomics; Monetary Policy; Inequality; Financial Frictions; Information Frictions; Noisy Information; Behavioral Frictions; Bounded Rationality; Economics; nationalekonomi;

    Sammanfattning : Monetary Policy and Liquidity Constraints: Evidence from the Euro AreaWe quantify the relationship between the response of output to monetary policy shocks and the share of liquidity constrained households. We do so in the context of the euro area, using a Local Projections Instrumental Variables estimation. LÄS MER