Sökning: "time series forecasting"

Visar resultat 1 - 5 av 48 avhandlingar innehållade orden time series forecasting.

1. 1. Common features in vector nonlinear time series models

   Författare :Dao Li; Sune Karlsson; Kenneth Carling; Thomas Holgersson; Örebro universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; nonliearity; time series; econometrics; smooth transition; common features; cointegration; forecasting; residual-based; ppp; Statistics; Statistik; Complex Systems – Microdata Analysis;

   Sammanfattning : This thesis consists of four manuscripts in the area of nonlinear time series econometrics on topics of testing, modeling and forecasting nonlinear common features. The aim of this thesis is to develop new econometric contributions for hypothesis testing and forecasting in thesearea.Both stationary and nonstationary time series are concerned. LÄS MER

3. 2. Strategic time awareness : implications of strategic thinking

   Författare :Henrik Friman; Peter Stevrin; Stockholms universitet; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Strategic time; strategic time awareness; strategic thinking and strategic management; Business Administration; företagsekonomi;

   Sammanfattning : Strategic time awareness (STA) is a research project that strives to gain new insights about the strategic thinking process and better understand time in the context of strategic management. The purpose of this study is to understand what managers think is important with regard to time in the process of strategic thinking. LÄS MER

4. 3. Essays on Time Series Analysis : With Applications to Financial Econometrics

   Författare :Daniel Preve; Rolf Larsson; Bent Nielsen; Uppsala universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; non-Gaussian time series; nonnegative autoregression; robust estimation; strong convergence; realized volatility; volatility forecast; forecast comparison; Diebold-Mariano test; Statistics; Statistik;

   Sammanfattning : This doctoral thesis is comprised of four papers that all relate to the subject of Time Series Analysis.The first paper of the thesis considers point estimation in a nonnegative, hence non-Gaussian, AR(1) model. The parameter estimation is carried out using a type of extreme value estimators (EVEs). LÄS MER

5. 4. Markov Regime Switching in Economic Time Series

   Författare :Ulf Erlandsson; Nationalekonomiska institutionen; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; forecasting; Markov switching; exchange rates; interest rates; business cycle; economic policy; economic systems; economic theory; econometrics; Economics; currency crisis;

   Sammanfattning : This dissertation studies statistical properties and applications of the Markov switching models for economic time series in five separate papers. The two main statistical themes are (i) the task of choosing the number of states to use in the model, and (ii) inference on time-varying transition probabilities. LÄS MER

7. 5. Some Contributions to Filtering, Modeling and Forecasting of Heteroscedastic Time Series

   Författare :Pär Stockhammar; Lars-Erik Öller; Daniel Thorburn; Agustin Maravall; Stockholms universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Heteroscedasticity; variance stabilizing filters; the mixed Normal - Asymmetric Laplace distribution; density forecasting; detrending filters; spectral analysis; the connection between financial data and economic growth; Statistics; Statistik; Statistics; statistik;

   Sammanfattning : Heteroscedasticity (or time-dependent volatility) in economic and financial time series has been recognized for decades. Still, heteroscedasticity is surprisingly often neglected by practitioners and researchers. This may lead to inefficient procedures. LÄS MER