Sökning: "estimation risk"

Visar resultat 6 - 10 av 306 avhandlingar innehållade orden estimation risk.

1. 6. 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

3. 7. Portfolio Selection and the Analysis of Risk and Time Diversification

   Författare :Mattias Persson; Nationalekonomiska institutionen; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; economic policy; economic systems; economic theory; econometrics; Economics; Lower Partial Moment; Portfolio Selection; Parameter Uncertainty; Time Diversification; Bootstrap; Downside Risk; Estimation Risk; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Financial science; Finansiering;

   Sammanfattning : This thesis is devoted to the analysis of three important issues in financial economics in general and portfolio selection in particular: the risk measure, estimation risk and time diversification. Besides a short introductory chapter the thesis consists of four empirical essays. LÄS MER

4. 8. Atherosclerotic cardiovascular disease in rheumatoid arthritis : aspects of pathogenesis and risk

   Författare :Bengt Wahlin; Solveig Wållberg-Jonsson; Anna Södergren; Anders Bengtsson; Umeå universitet; []
   Nyckelord :MEDICIN OCH HÄLSOVETENSKAP; MEDICAL AND HEALTH SCIENCES; Rheumatoid arthritis; inflammation; atherosclerosis; cardiovascular disease; risk estimation; cytomegalovirus; T-cells; bone turnover; osteoprotegerin; osteocalcin; Medicine; medicin;

   Sammanfattning : Patients with rheumatoid arthritis (RA) have an increased prevalence and severity of atherosclerosis, and a corresponding increased risk of cardiovascular disease. The mechanisms causing this are not well elucidated, but both traditional cardiovascular risk factors and RA-associated factors have been associated with atherosclerosis and increased risk of cardiovascular events in patients with RA. LÄS MER

5. 9. Applications of Bayesian Econometrics to Financial Economics

   Författare :Christoffer Bengtsson; Nationalekonomiska institutionen; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; economic systems; economic theory; econometrics; Economics; systemic risk; stochastic volatility; jump-diffusion; shrinkage; covariance matrix estimation; estimation risk; portfolio selection; mean-variance optimization; Markov chain Monte Carlo; Bayesian econometrics; ekonomisk politik; ekonomiska system; ekonomisk teori; ekonometri; Nationalekonomi; economic policy;

   Sammanfattning : This PhD thesis consists of four separate papers. What these papers have in common is that Bayesian Econometrics, in combination with Markov chain Monte Carlo (MCMC) methods, is applied to study various problems in financial economics. LÄS MER

7. 10. DSGE Model Estimation and Labor Market Dynamics

   Författare :Glenn Mickelsson; Nils Gottfries; Karl Walentin; Martin M Andreasen; Uppsala universitet; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; DSGE Models; Macroeconomics; Estimation; Uninformative Priors; Maximum Likelihood; Labor Hoarding; US Labor Market; Swedish Micro Data; Economics; Nationalekonomi;

   Sammanfattning : Essay 1: Estimation of DSGE Models with Uninformative PriorsDSGE models are typically estimated using Bayesian methods, but because prior information may be lacking, a number of papers have developed methods for estimation with less informative priors (diffuse priors). This paper takes this development one step further and suggests a method that allows full information maximum likelihood (FIML) estimation of a medium-sized DSGE model. LÄS MER