Search for dissertations about: "Causality in conditional variance"

Found 3 swedish dissertations containing the words Causality in conditional variance.

2. 1. Issues of multicollinearity and conditional heteroscedasticy in time series econometrics

   Author : Kristofer Månsson; Ghazi Shukur; Sneh Gulati; Jönköping University; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES;

   Abstract : This doctoral thesis consists of four chapters all related to the field of time series econometrics. The main contribution is firstly the development of robust methods when testing for Granger causality in the presence of generalized autoregressive conditional heteroscedasticity (GARCH) and causality-in-variance (i.e. spillover) effects. READ MORE

4. 2. Four Essays on Building Conditional Correlation GARCH Models

   Author : Tomoaki Nakatani; Handelshögskolan i Stockholm; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES;

   Abstract : This thesis consists of four research papers. The main focus is on building the multivariate Conditional Correlation (CC-) GARCH models. In particular, emphasis lies on considering an extension of CC-GARCH models that allow for interactions or causality in conditional variances. READ MORE

5. 3. On Statistical Aspects of Modelling Financial Volatility

   Author : Farrukh Javed; Statistiska institutionen; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; Causality Dynamic conditional correlation Jumps Mixed-data-sampling Volatility;

   Abstract : This thesis is comprised of five papers that are all related to the subject of financial time series. We study statistical aspects of conditional heteroskedastic models commonly used in modelling financial volatility. Paper I discusses the performance of commonly known information criteria in the presence of various GARCH processes. READ MORE