Search for dissertations about: "Bayesian econometrics"

Showing result 1 - 5 of 8 swedish dissertations containing the words Bayesian econometrics.

  1. 1. Applications of Bayesian Econometrics to Financial Economics

    University dissertation from Department of Economics, Lund Universtiy

    Author : Christoffer Bengtsson; Lunds universitet.; Lund University.; [2006]
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; economic systems; economic theory; econometrics; Economics; systemic risk; stochastic volatility; jump-diffusion; shrinkage; covariance matrix estimation; estimation risk; portfolio selection; mean-variance optimization; Markov chain Monte Carlo; Bayesian econometrics; ekonomisk politik; ekonomiska system; ekonomisk teori; ekonometri; Nationalekonomi; economic policy;

    Abstract : Popular Abstract in Swedish Denna doktorsavhandling består av fyra fristående artiklar. Artiklarna har det gemensamt att de alla använder Bayesiansk ekonometri, i kombination med s.k. Markov chain Monte Carlo (MCMC) metoder, för att studera olika problem inom finansiell ekonomi. READ MORE

  2. 2. Option Pricing and Bayesian Learning

    University dissertation from Department of Economics, Lund Universtiy

    Author : Ola Jönsson; Lunds universitet.; Lund University.; [2007]
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; ekonomisk politik; ekonomiska system; ekonomisk teori; ekonometri; Bayesian learning; Volatility smile; Economics; Polya urn model; economic theory; econometrics; economic systems; Nationalekonomi; economic policy; Finansiering; Financial science;

    Abstract : Popular Abstract in Swedish En europeisk köpoption ger innehavaren rätten, men inte skyldigheten, att köpa en underliggande tillgång till ett visst pris, lösenpriset, vid ett bestämt datum, lösendagen. En europeisk säljoption definieras på motsvarande sätt: den ger innehavaren rätten, men inte skyldigheten att sälja den underliggande tillgången. READ MORE

  3. 3. Applications of Bayesian Econometrics to Financial Economics

    University dissertation from Department of Economics, Lund Universtiy

    Author : Christoffer Bengtsson; Lunds universitet.; Lund University.; [2005]
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Abstract : .... READ MORE

  4. 4. Financial Applications of Markov Chain Monte Carlo Methods

    University dissertation from Department of Economics, Lund Universtiy

    Author : Andreas Graflund; Lunds universitet.; Lund University.; [2002]
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Finansiering; Financial science; ekonomiska system; ekonomisk politik; ekonomisk teori; Nationalekonomi; economic policy; economic systems; economic theory; Economics; econometrics; Mean Reversion; Diversification; Real Estate Stocks; Markov Chain Monte Carlo Methods; Stock Markets; ekonometri;

    Abstract : Popular Abstract in Swedish Avhandlingen omfattar fyra artiklar inom empirisk finansiell ekonomi. Det första kapitlet är en kort sammanfattning av avhandlingens innehåll. Det andra kapitlet, Dynamic Portfolio Selection: The Relevance of Switching Regimes and Investment Horizon. READ MORE

  5. 5. Quantitative New Keynesian Macroeconomics and Monetary Policy

    University dissertation from Uppsala : Nationalekonomiska institutionen

    Author : Peter Welz; Uppsala universitet.; [2005]
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Economics; New Keynesian Economics; Monetary Policy; Bayesian Econometrics; Nationalekonomi; SOCIAL SCIENCES Business and economics Economics; SAMHÄLLSVETENSKAP Ekonomi Nationalekonomi; nationalekonomi; Economics;

    Abstract : This thesis consists of four self-contained essays.Essay 1 compares the dynamic behaviour of an estimated New Keynesian sticky-price model with one-period delayed effects of monetary policy shocks to the dynamics of a structural vector autoregression model. The model is estimated with Bayesian techniques on German pre-EMU data. READ MORE