Search for dissertations about: "Kurt Brännäs"

Showing result 1 - 5 of 8 swedish dissertations containing the words Kurt Brännäs.

  2. 1. On estimation in econometric systems in the presence of time-varying parameters

    Author : Kurt Brännäs; Umeå universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Econometric systems; time-varying parameters; Kalman filtering; stochastic regressors; unknown transition matrix; robustness; simulation;

    Abstract : Economic systems are often subject to structural variability. For the achievement of correct structural specification in econometric modelling it is then important to allow for parameters that are time-varying, and to apply estimation techniques suitably designed for inference in such models. READ MORE

  4. 2. Essays on credit markets and banking

    Author : Ulf Holmberg; Kurt Brännäs; Jörgen Hellström; Peter Englund; Umeå universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; financial stability; credit market; banking; agent based model; simulations; disequilibrium; clearing market; business cycle; risk; organization; ekonometri; Econometrics; nationalekonomi; Economics;

    Abstract : This thesis consists of four self-contained papers related to banking, credit markets and financial stability.    Paper [I] presents a credit market model and finds, using an agent based modeling approach, that credit crunches have a tendency to occur; even when credit markets are almost entirely transparent in the absence of external shocks. READ MORE

  5. 3. On Risk Prediction

    Author : Carl Lönnbark; Kurt Brännäs; Stefan Mittnik; Umeå universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Finance; Time series; GARCH; Estimation error; Asymmetry; Supply and demand; Econometrics; Ekonometri; ekonometri; Econometrics;

    Abstract : This thesis comprises four papers concerning risk prediction. Paper [I] suggests a nonlinear and multivariate time series model framework that enables the study of simultaneity in returns and in volatilities, as well as asymmetric effects arising from shocks. READ MORE

  6. 4. Worker Safety and Market Dynamics

    Author : Anna Norin; Kurt Brännäs; Umeå universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Search; Hedonic wages; Work injuries; Accelerated duration; Cournot Duopoly; Dynamic Analysis; Chaos;

    Abstract : .... READ MORE

  7. 5. Time series modelling of high frequency stock transaction data

    Author : Shahiduzzaman Quoreshi; Kurt Brännäs; Per Johansson; Umeå universitet; []
    Keywords : Economics; Count data; Intra-day; High frequency; Time series; Estimation; Long memory; Finance; Nationalekonomi; Econometrics; ekonometri;

    Abstract : .... READ MORE