Sökning: "mean reversion"
Visar resultat 1 - 5 av 6 avhandlingar innehållade orden mean reversion.
Sammanfattning : This thesis consists of four empirical studies on financial economics. The first chapter contains a short summary of the thesis. LÄS MER
Sammanfattning : This thesis consists of four papers: Paper I is an overview of recent techniques in strong numerical solutions of stochastic differential equations, driven by Wiener processes, that have appeared the last then 10 years, or so. Paper II studies theoretical and numerical aspects of stochastic differential equations with so called volatility induced stationarity. LÄS MER
Sammanfattning : Essay 1: Real Exchange Rate Adjustment in European Transition Countries Essay 1 presents unit-root test results for real exchange rates in ten Central and Eastern European transition countries relative to the Euro during 1993:01-2005:12. Because of the shift from controlled to market economies and the accompanying crises, failed policy regimes and changes in exchange rate regimes, appropriate tests in transition countries require allowing for both structural changes and outliers. LÄS MER
Sammanfattning : This thesis consists of four empirical essays, summarized below.In “On Alternative Interest Rate Processes'' the interest rate dynamics for four European countries are studied. There seems to be a positive relation between the interest rate level and the volatility of interest rate changes. LÄS MER
Sammanfattning : Immunoglobulin A deficiency (IgAD) is the most common primary immunodeficiency in Caucasian populations. It is defined as a serum IgA level below 0.07 g/L with normal IgM and IgG levels in an individual older than four years of age. LÄS MER