Search for dissertations about: "Heteroskedasticity"

Showing result 1 - 5 of 9 swedish dissertations containing the word Heteroskedasticity.

  2. 1. Essays on autoregressive conditional heteroskedasticity

    Author : Annastiina Silvennoinen; Handelshögskolan i Stockholm; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Abstract : .... READ MORE

  4. 2. Tests of random effects in linear and non-linear models

    Author : Erling Häggström Lundevaller; Umeå universitet; []
    Keywords : Random effects; score test; NLS; heteroskedasticity; measurement error; Poisson regression; trip frequencies; Statistics; statistik;

    Abstract : .... READ MORE

  5. 3. Banks, Shocks and Monetary Policy

    Author : Tamás Vasi; Nils Gottfries; Stefan Pitschner; Refet Gürkaynak; Uppsala universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Monetary Policy; Financial Markets; Banks;

    Abstract : Essay 1: This paper studies the effect of monetary policy on the economy, distinguishing the effects of exogenous monetary policy shocks from information shocks that reveal the Federal Reserve's assessment of the economic outlook. To identify these two shocks, I exploit the difference in information content in public announcements by the Fed in its statements (released on decision days) and minutes of FOMC meetings (transcripts of the policy decision, released at a later date). READ MORE

  6. 4. Essays on Prospect Theory and the Statistical Modeling of Financial Returns

    Author : Martin Ågren; Annika Alexius; Rolf Larsson; Enrico De Giorgi; Uppsala universitet; []
    Keywords : Economics; Nationalekonomi;

    Abstract : This thesis consists of three self-contained essaysEssay 1 presents an empirical study of volatility spillover from oil prices to stock markets within an asymmetric BEKK model. Using weekly data on the aggregate stock markets of Japan, Norway, Sweden, the U.K., and the U. READ MORE

  7. 5. Statistical properties of GARCH processes

    Author : Changli He; Handelshögskolan i Stockholm; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES;

    Abstract : This dissertation contains five chapters. An introduction and a summary of the research are given in Chapter 1. The other four chapters present theoretical results on the moment structure of GARCH processes. Some chapters also contain empirical examples in order to illustrate applications of the theory. READ MORE