Sökning: "misspecified models"

Visar resultat 1 - 5 av 9 avhandlingar innehållade orden misspecified models.

  1. 1. 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

  3. 2. Modeling and Sampling of Spectrally Structured Signals

    Författare :Filip Elvander; Statistical Signal Processing Group; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; spectral estimation; parameter estimation; optimal mass transport; covariance interpolation; misspecified models; inharmonicity;

    Sammanfattning : This thesis consists of five papers concerned with the modeling of stochastic signals, as well as deterministic signals in stochastic noise, exhibiting different kinds of structure. This structure is manifested as the existence of finite-dimensional parameterizations, and/or in the geometry of the signals' spectral representations. LÄS MER

  4. 3. Essays on Estimation Methods for Factor Models and Structural Equation Models

    Författare :Shaobo Jin; Fan Yang-Wallentin; Rolf Larsson; Li Cai; Uppsala universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; shrinkage; factor rotation; penalized maximum likelihood; pseudo-maximum likelihood; multi-group analysis; ordinal data; robustness; Statistics; Statistik;

    Sammanfattning : This thesis which consists of four papers is concerned with estimation methods in factor analysis and structural equation models. New estimation methods are proposed and investigated.In paper I an approximation of the penalized maximum likelihood (ML) is introduced to fit an exploratory factor analysis model. LÄS MER

  5. 4. 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

  7. 5. Essays on Empirical Macroeconomics

    Författare :Dario Caldara; John Hassler; Giancarlo Corsetti; Stockholms universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Fiscal Policy; Identification; Vector Autoregression; Recursive Preferences; Perturbation; DSGE Models; Business Cycle Accounting; Economics; Nationalekonomi; Economics; nationalekonomi;

    Sammanfattning : This thesis consists of four essays in empirical macroeconomics. What Are the Effects of Fiscal Policy Shocks? A VAR-Based Comparative Analysis The literature using structural vector autoregressions (SVARs) to assess the effects of fiscal policy shocks strongly disagrees on the qualitative and quantitative response of key macroeconomic variables. LÄS MER