Search for dissertations about: "GARCH-processes"

Found 3 swedish dissertations containing the word GARCH-processes.

2. 1. Statistical properties of GARCH processes

   Author : Changli He; Handelshögskolan i Stockholm; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES;

   Abstract : This dissertation contains five chapters. An introduction and a summary of the research are given in Chapter 1. The other four chapters present theoretical results on the moment structure of GARCH processes. Some chapters also contain empirical examples in order to illustrate applications of the theory. READ MORE

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

   Author : Mika Meitz; Handelshögskolan i Stockholm; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

   Abstract : .... 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