Search for dissertations about: "Bayesian econometrics"

Showing result 1 - 5 of 11 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 theory; economic systems; 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 : This PhD thesis consists of four separate papers. What these papers have in common is that Bayesian Econometrics, in combination with Markov chain Monte Carlo (MCMC) methods, is applied to study various problems in financial economics. 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; ekonomiska system; ekonomisk politik; ekonomisk teori; ekonometri; Bayesian learning; Volatility smile; Economics; Polya urn model; economic theory; econometrics; economic systems; Nationalekonomi; economic policy; Finansiering; Financial science;

    Abstract : This thesis consists of three chapters devoted to both empirical and theoretical aspects of option pricing. The first chapter investigates the market for European options on the Swedish OMX index using daily data for the period 1993-2000. READ MORE

  3. 3. Bayesian time series and panel models unit roots, dynamics and random effects

    University dissertation from Stockholm : Economic Research Institute, Stockholm School of Economics (EFI)

    Author : Mickael Salabasis; Handelshögskolan i Stockholm.; [2004]
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Bayesian analysis; Time series; Panel data; Unit roots; Seasonality; Random effects; Markov chain Monte Carlo; SOCIAL SCIENCES Business and economics Economics Econometrics; SAMHÄLLSVETENSKAP Ekonomi Nationalekonomi Ekonometri;

    Abstract : This thesis consists of four papers and the main theme present is dependence, through time as in serial correlation, and across individuals, as in random effects. The individual papers may be grouped in many different ways. READ MORE

  4. 4. Applications of Bayesian Econometrics to Financial Economics

    University dissertation from Stockholm : Economic Research Institute, Stockholm School of Economics (EFI)

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

    Abstract : .... READ MORE

  5. 5. 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; Financial science; Finansiering; 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 : This thesis consists of four empirical studies on financial economics. The first chapter contains a short summary of the thesis. READ MORE