Sökning: "simulation driven parameter estimation"

Visar resultat 6 - 9 av 9 avhandlingar innehållade orden simulation driven parameter estimation.

1. 6. Modeling Realized Covariance of Asset Returns

   Författare :Gustav Alfelt; Joanna Tyrcha; Taras Bodnar; Tatjana von Rosen; Stockholms universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Mathematical Statistics; matematisk statistik;

   Sammanfattning : In this thesis, which consists of two papers, we consider the modeling of positive definitive symmetric matrices, in particular covariance matrices of financial asset returns. The return covariance matrix describes the magnitude in which prices of financial assets tend to change over time, and how price changes between different assets are related. LÄS MER

3. 7. Groundwater-Seawater Interactions : Seawater Intrusion, Submarine Groundwater Discharge and Temporal Variability and Randomness Effects

   Författare :Carmen Prieto; Georgia Destouni; Vassilios Kaleris; KTH; []
   Nyckelord :TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; Hydraulic engineering; Seawater intrusion; submarine groundwater discharge; coastal groundwater management; coastal zone management; temporal variability; temporal randomness; Vattenteknik; Water engineering; Vattenteknik;

   Sammanfattning : Fresh groundwater quality and availability in coastal areas is affected by seawater intrusion into coastal aquifers, and coastal water quality and ecosystem status may be significantly affected by groundwater pollutants that are transported into coastal waters by submarine groundwater dis-charge (SGD). This thesis uses an overall regional perspective for investigating: i) seawater intru-sion and its possible control in sustainable coastal groundwater management; ii) SGD and its relevant quantification as one interacting part among the diverse main regional pathways of freshwater and tracer/pollutant inputs from land to sea; and iii) the integrated system functioning of both i) and ii) as main components of the same coastal groundwater system. LÄS MER

4. 8. Asymptotic Analysis of Hedging Errors Induced by Discrete Time Hedging

   Författare :Mats Brodén; Matematisk statistik; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Discrete time hedging; discretization error; L2 convergence; Non-linear Kalman filters; Calibration;

   Sammanfattning : The first part of this thesis deals with approximations of stochastic integrals and discrete time hedging of derivative contracts; two closely related subjects. Paper A considers the problem of approximating the value of a Wiener process. LÄS MER

5. 9. Likelihood-Based Tests for Common and Idiosyncratic Unit Roots in the Exact Factor Model

   Författare :Martin Solberger; Rolf Larsson; Johan Lyhagen; Jean-Pieree Urbain; Uppsala universitet; []
   Nyckelord :panel unit root; dynamic factors; maximum likelihood; Lagrange multiplier; likelihood ratio; factor analysis; Statistics; Statistik;

   Sammanfattning : Dynamic panel data models are widely used by econometricians to study over time the economics of, for example, people, firms, regions, or countries, by pooling information over the cross-section. Though much of the panel research concerns inference in stationary models, macroeconomic data such as GDP, prices, and interest rates are typically trending over time and require in one way or another a nonstationary analysis. LÄS MER