Search for dissertations about: "Nonlinear time series"

Showing result 1 - 5 of 75 swedish dissertations containing the words Nonlinear time series.

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

    Author : Dao Li; Sune Karlsson; Kenneth Carling; Thomas Holgersson; Örebro universitet; []
    Keywords : 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;

    Abstract : 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. READ MORE

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

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

    Abstract : 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). READ MORE

  5. 3. Modelling Nonlinear Vector Economic Time Series

    Author : Yukai Yang; Timo Teräsvirta; Christian Møller Dahl; Dick van Dijk; Rickard Sandberg; Henning Bunzel; Aarhus University Business and Social Sciences Department of Economics and Business; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Abstract : .... READ MORE

  6. 4. Essays on nonlinear time series modelling och hypothesis testing

    Author : Birgit Strikholm; Handelshögskolan i Stockholm; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES;

    Abstract : There seems to be a common understanding nowadays that the economy is nonlinear. Economic theory suggests features that can not be incorporated into linear frameworks, and over the decades a solid body of empirical evidence of nonlinearities in economic time series has been gathered. READ MORE

  7. 5. Essays on nonlinear time series analysis and health economics

    Author : Anna Ovanfors; Handelshögskolan i Stockholm; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Abstract : .... READ MORE