Sökning: "heteroscedasticity"

Visar resultat 16 - 19 av 19 avhandlingar innehållade ordet heteroscedasticity.

  1. 16. Financial Applications of Markov Chain Monte Carlo Methods

    Författare :Andreas Graflund; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Finansiering; Financial science; ekonomiska system; ekonomisk politik; ekonomisk teori; Nationalekonomi; economic policy; economic systems; economic theory; Economics; econometrics; Mean Reversion; Diversification; Real Estate Stocks; Markov Chain Monte Carlo Methods; Stock Markets; ekonometri;

    Sammanfattning : This thesis consists of four empirical studies on financial economics. The first chapter contains a short summary of the thesis. LÄS MER

  3. 17. Nonlinear and Nonparametric Dynamical Methods in Economics and Finance

    Författare :Gazi Salah Uddin; Bo Sjö; Ramo Gencay; Linköpings universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Commodity markets; Nonlinear causality testing; Dependence structure; Business cycles; Timescale analysis; Growth dynamics; Portfolio management;

    Sammanfattning : The objectives of the thesis - which comprises six parts – can be summarized in i) implementing linear and nonlinear/nonparametric approaches toward detecting, measuring and analyzing the nature and directionality of causal relationships in financial markets, ii) elaborating on modern topics in financial investment analysis, iii) probing into the role of commodity futures in constructing optimal portfolios as well as iv) investigating growth dynamics via aggregated and disaggregated indices.The first paper named “Analyzing causal interactions between sectoral equity returns and commodity futures returns in the aftermath of the global financial crisis: The case of the US and EU equity returns”, aims to explore and compare the dependence and co-movement structure between commodity and various asset classes’ returns including the USA and EU stock markets via the use of linear and non-linear causality testing in a comparative context with the additional adjustment for cointegration and conditional heteroscedasticity. LÄS MER

  4. 18. Essays on Financial Models

    Författare :Henrik Amilon; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; options; neural networks; hedging; portfolio optimization; econometrics; Economics; ekonomisk teori; ekonomiska system; ekonomisk politik; ekonometri; generalized residuals; discreteness; GARCH; compass rose; nonlinearities; Chaos; economic theory; economic systems; Nationalekonomi; economic policy;

    Sammanfattning : This thesis consists of five essays exploring the validity of some extensively used financial models with a focus on the Swedish equity and derivative markets. The essays are of both an empirical and a theoretical nature. LÄS MER

  5. 19. International Asset Pricing, Diversification and Links between National Stock Markets

    Författare :Birger Nilsson; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Financial science; Finansiering; economic systems; economic theory; Economics; econometrics; Simulated Annealing; Capital Market Liberalization; International Asset Pricing; Diversification;

    Sammanfattning : This thesis consists of three self-contained empirical studies on international financial economics. The common economic theme is that all three studies deal with international stock market return and risk. LÄS MER