Sökning: "long-memory"

Visar resultat 1 - 5 av 11 avhandlingar innehållade ordet long-memory.

  1. 1. 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

  3. 2. Essays on univariate long memory models

    Författare :Johan Lyhagen; Uppsala universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Statistics; Statistik; Statistics; Statistik; Statistics; statistik;

    Sammanfattning : This thesis consists of five papers dealing with univariate long memory modelsin time series analysis.The first paper examines the performance of information criteria when usedto determine the lag order of a long memory process. The results indicate thatinformation criteria cannot be used successfully for small sample sizes. LÄS MER

  4. 3. Testing for Periodicity and Trend in Long-Memory Processes

    Författare :Abdullah Almasri; Statistiska institutionen; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Statistics; temperature data.; sunspots data; wind speed data; varve data; Siegel’s test; Fisher’s test; periodogram; Fractional difference process; Discrete wavelet transform; operations research; programming; actuarial mathematics; Statistik; operationsanalys; programmering; aktuariematematik; Wavelets; Statistik;

    Sammanfattning : This thesis presents methods of testing the periodicity and trend for the time series, which exhibit dependence over long periods of time. Many such processes can be modeled by a class of models called fractionally differenced processes. LÄS MER

  5. 4. Essays on VIX Futures and Options

    Författare :Bujar Huskaj; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; NIG; Long memory; Futures; FIGARCH; FIAPARCH; Options; Realized volatility; VaR; VIX; Volume;

    Sammanfattning : This thesis consists of three essays on VIX futures and options, and deals with issues highly relevant to all financial markets, such as understanding the operation of markets and developing flexible and tractable pricing models for contracts traded in them. It consists of four chapters. LÄS MER

  7. 5. Infrastructure investment planning under uncertainty

    Författare :Niclas A. Krüger; Lars Hultkrantz; Farideh Ramjerdi; Örebro universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Real options; Wavelets; Risk; Uncertainty; Investments; Growth; Benefit-cost analysis; Infrastructure; Transportation; Traffic safety; Fractional Brownian motion; Incomplete contracts; Monte-Carlo simulation; Long memory; Economics; Nationalekonomi; Economics; Nationalekonomi;

    Sammanfattning : This dissertation is concerned with the planning processes in transportation and infrastructure investments and the aim is to improve risk assessment, risk valuation and risk management. Many of the results presented in this thesis are also applicable to a wider range of questions... LÄS MER