Search for dissertations about: "High frequency data"

Showing result 1 - 5 of 521 swedish dissertations containing the words High frequency data.

  1. 1. Time series modelling of high frequency stock transaction data

    University dissertation from Umeå : Nationalekonomi

    Author : Shahiduzzaman Quoreshi; Umeå universitet.; [2006]
    Keywords : Economics; Count data; Intra-day; High frequency; Time series; Estimation; Long memory; Finance; Nationalekonomi; Econometrics; ekonometri;

    Abstract : .... READ MORE

  2. 2. High frequency conducted disturbances

    University dissertation from Chalmers University of Technology

    Author : Anna Tjäder; Chalmers tekniska högskola.; Chalmers University of Technology.; [2004]

    Abstract : .... READ MORE

  3. 3. Modeling financial volatility A functional approach with applications to Swedish limit order book data

    University dissertation from Umeå

    Author : Suad Elezovic; Umeå universitet.; [2009]
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Financial data; functional time series; multivariate generalized least squares; seemingly unrelated autoregression; SOCIAL SCIENCES Statistics; computer and systems science; SAMHÄLLSVETENSKAP Statistik; data- och systemvetenskap; Econometrics; ekonometri;

    Abstract : This thesis is designed to offer an approach to modeling volatility in the Swedish limit order market. Realized quadratic variation is used as an estimator of the integrated variance, which is a measure of the variability of a stochastic process in continuous time. READ MORE

  4. 4. Five contributions to econometric theory and the econometrics of ultra-high-frequency data

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

    Author : Mika Meitz; Handelshögskolan i Stockholm.; [2006]
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Financial econometrics; Econometric theory; Ultra-high-frequency data; Durations; Misspecification testing; Marked point processes; Geometric ergodicity; Strict stationariaty; Time series; Markov chain; SOCIAL SCIENCES Business and economics Economics Econometrics; SAMHÄLLSVETENSKAP Ekonomi Nationalekonomi Ekonometri;

    Abstract : .... READ MORE

  5. 5. Testing for Periodicity and Trend in Long-Memory Processes

    University dissertation from Department of Statistics, Lund university

    Author : Abdullah Almasri; Lunds universitet.; Lund University.; Karlstads universitet.; [2003]
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; temperature data.; Statistics; sunspots data; wind speed data; varve data; Siegel’s test; Fisher’s test; periodogram; Fractional difference process; Discrete wavelet transform; operations research; programming; actuarial mathematics; Statistik; operationsanalys; programmering; aktuariematematik; Statistik; Statistics; Wavelets; long memory;

    Abstract : Avhandlingen handlar om tes av periodicitet och trend inom långminne-processer. Med hjälp av diskret wavelet transform och periodogram presenteras vi två test för periodicitet och tre test för trend. READ MORE