Search for dissertations about: "Financial econometrics"
Showing result 1 - 5 of 38 swedish dissertations containing the words Financial econometrics.
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1. Essays on Time Series Analysis : With Applications to Financial Econometrics
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
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2. Modeling financial volatility : A functional approach with applications to Swedish limit order book data
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
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3. Applications of Bayesian Econometrics to Financial Economics
Abstract : This PhD thesis consists of four separate papers. What these papers have in common is that Bayesian Econometrics, in combination with Markov chain Monte Carlo (MCMC) methods, is applied to study various problems in financial economics. READ MORE
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4. Evaluating Asset-Pricing Models in International Financial Markets
Abstract : This thesis consists of three empirical studies on asset-prices in international financial markets. The purpose is three-fold. First, to evaluate whether good predictions of economic variables may be obtained by pooling information from a broad group of financial variables. READ MORE
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5. Essays on Financial Models
Abstract : This thesis consists of five essays exploring the validity of some extensively used financial models with a focus on the Swedish equity and derivative markets. The essays are of both an empirical and a theoretical nature. READ MORE