Search for dissertations about: "financial time series analysis"

Showing result 1 - 5 of 29 swedish dissertations containing the words financial time series analysis.

  2. 1. 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

  4. 2. Scalable Streaming Graph and Time Series Analysis Using Partitioning and Machine Learning

    Author : Zainab Abbas; Vladimir Vlassov; Peter Van Roy; Paris Carbone; Vasiliki Kalavri; Vincenzo Massimiliano Gulisano; KTH; []
    Keywords : TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; Stream processing; graph processing; time series; big data; machine learning; Informations- och kommunikationsteknik; Information and Communication Technology;

    Abstract : Recent years have witnessed a massive increase in the amount of data generated by the Internet of Things (IoT) and social media. Processing huge amounts of this data poses non-trivial challenges in terms of the hardware and performance requirements of modern-day applications. READ MORE

  5. 3. Essays on Financial Markets

    Author : Hans Byström; Nationalekonomiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Electricity Futures; Option Pricing; Compass Rose; Covariance Matrix; Chaos; Stochastic Volatility; Financial Markets; GARCH; Financial science; Finansiering;

    Abstract : This thesis consists of five empirical essays dealing with different issues related to financial markets. Chapter 2 studies a new multivariate technique, Orthogonal GARCH, of forecasting large covariance matrices based on GARCH models. READ MORE

  6. 4. Some Contributions to Heteroscedastic Time Series Analysis and Computational Aspects of Bayesian VARs

    Author : Oskar Gustafsson; Pär Stockhammar; Domenico Giannone; Stockholms universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Time series; heteroscedasticity; variance stabilizing filters; Bayesian vector autoregressions; Bayesian optimization; variational inference; Statistics; statistik;

    Abstract : Time-dependent volatility clustering (or heteroscedasticity) in macroeconomic and financial time series has been analyzed for more than half a century. The inefficiencies it causes in various inference procedures are well known and understood. Despite this, heteroscedasticity is surprisingly often neglected in practical work. READ MORE

  7. 5. Financial Choice and Public Policy

    Author : Karin Kinnerud; Per Krusell; Kurt Mitman; Gianluca Violante; Stockholms universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; heterogeneous households; housing; mortgage interest deduction; welfare; monetary policy; mortgage contracts; mortgage lending policies; consumption; pensions; field experiment; search costs; inattention; dominated choices; financial literacy; Economics; nationalekonomi;

    Abstract : Costly reversals of bad policies: the case of the mortgage interest deductionThis paper measures the welfare effects of removing the mortgage interest deduction under a variety of implementation scenarios. To this end, we build a life-cycle model with heterogeneous households calibrated to the U.S. READ MORE