Search for dissertations about: "GARCH"

Showing result 21 - 25 of 54 swedish dissertations containing the word GARCH.

  2. 21. Essays on Exchange Rates and Central Bank Credibility

    Author : Per-Ola Maneschiöld; Göteborgs universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; ARCH- GARCH-models; Central bank credibility; Exchange rates; GPH-estimator; Interest differentials; Long memory; Sweden;

    Abstract : .... READ MORE

  4. 22. Properties and evaluation of volatility models

    Author : Hans Malmsten; Handelshögskolan i Stockholm; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES;

    Abstract : The general theme of this thesis is theoretical properties and evaluation of volatility models. The thesis consists of four papers. In the first chapter the moment structure of the EGARCH model is derived. The second chapter contains new results on the A-PARCH model. READ MORE

  5. 23. 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

  6. 24. Essays on autoregressive conditional heteroskedasticity

    Author : Annastiina Silvennoinen; Handelshögskolan i Stockholm; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Abstract : .... READ MORE

  7. 25. Essays in Empirical Finance: Volatility, Interdependencies, and Risk in Emerging Markets

    Author : Anders C Johansson; Göteborgs universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Emerging markets; Asia; China; Stock markets; Bond markets; Exchange rates; Causality; Cointegration; Multivariate GARCH; Dynamic correlation; Timescales; Wavelet analysis; Heterogeneous markets; Multivariate stochastic volatility; Markov chain Monte Carlo; Country risk; Conditional beta;

    Abstract : The four essays in this thesis deal with emerging markets and their empirical characteristics. They mainly explore the relationship among different markets and the thesis cover several asset classes, including stocks, bonds, and exchange rates. READ MORE