Sökning: "heteroskedasticity"
Visar resultat 1 - 5 av 9 avhandlingar innehållade ordet heteroskedasticity.
1. Essays on autoregressive conditional heteroskedasticity
Sammanfattning : .... LÄS MER
2. Tests of random effects in linear and non-linear models
Sammanfattning : .... LÄS MER
3. Banks, Shocks and Monetary Policy
Sammanfattning : Essay 1: This paper studies the effect of monetary policy on the economy, distinguishing the effects of exogenous monetary policy shocks from information shocks that reveal the Federal Reserve's assessment of the economic outlook. To identify these two shocks, I exploit the difference in information content in public announcements by the Fed in its statements (released on decision days) and minutes of FOMC meetings (transcripts of the policy decision, released at a later date). LÄS MER
4. Essays on Prospect Theory and the Statistical Modeling of Financial Returns
Sammanfattning : This thesis consists of three self-contained essaysEssay 1 presents an empirical study of volatility spillover from oil prices to stock markets within an asymmetric BEKK model. Using weekly data on the aggregate stock markets of Japan, Norway, Sweden, the U.K., and the U. LÄS MER
5. Statistical properties of GARCH processes
Sammanfattning : This dissertation contains five chapters. An introduction and a summary of the research are given in Chapter 1. The other four chapters present theoretical results on the moment structure of GARCH processes. Some chapters also contain empirical examples in order to illustrate applications of the theory. LÄS MER