Search for dissertations about: "Long financial time series"

Showing result 1 - 5 of 21 swedish dissertations containing the words Long financial time series.

2. 1. Essays on financial time series models : Stochastic volatility and long memory

   Author : Jonas Andersson; Uppsala universitet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; Informatics; computer and systems science; Informatik; data- och systemvetenskap; Informatics; computer and systems science; Informatik; data- och systemvetenskap; statistik; Statistics;

   Abstract : This work consists of five articles about the statistical aspects of financial time series models. The first three papers investigate and develop the inverse normal Gaussian stochastic volatility (NIGSV) model, initially suggested by Barndorff- Nielsen (1997). READ MORE

4. 2. Back on the map : essays on financial markets in the Baltic States

   Author : Albina Soultanaeva; Kurt Brännäs; Hossein Asgharian; Umeå universitet; []
   Keywords : Financial Markets; Time series; GARCH; Asymmetry; News; nationalekonomi; Economics;

   Abstract :  This thesis consists of five self-contained papers, which are all related to the financial markets in the three Baltic States, Estonia, Latvia and Lithuania.  Paper [I] studies the impact of news from the Moscow and New York stock exchanges on the returns and volatilities of the Baltic States' stock market indices using a time series model that accounts for asymmetries in the conditional mean and variance functions. READ MORE

5. 3. Scalable Streaming Graph and Time Series Analysis Using Partitioning and Machine Learning

   Author : Zainab Abbas; Vladimir Vlassov; Peter Van Roy; Paris Carbone; Vasiliki Kalavri; Vincenzo Massimiliano Gulisano; KTH; []
   Keywords : TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; Stream processing; graph processing; time series; big data; machine learning; Informations- och kommunikationsteknik; Information and Communication Technology;

   Abstract : Recent years have witnessed a massive increase in the amount of data generated by the Internet of Things (IoT) and social media. Processing huge amounts of this data poses non-trivial challenges in terms of the hardware and performance requirements of modern-day applications. READ MORE

6. 4. Financial Choice and Public Policy

   Author : Karin Kinnerud; Per Krusell; Kurt Mitman; Gianluca Violante; Stockholms universitet; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; heterogeneous households; housing; mortgage interest deduction; welfare; monetary policy; mortgage contracts; mortgage lending policies; consumption; pensions; field experiment; search costs; inattention; dominated choices; financial literacy; Economics; nationalekonomi;

   Abstract : Costly reversals of bad policies: the case of the mortgage interest deductionThis paper measures the welfare effects of removing the mortgage interest deduction under a variety of implementation scenarios. To this end, we build a life-cycle model with heterogeneous households calibrated to the U.S. READ MORE

7. 5. Simulation-Based Approaches in Financial Econometrics

   Author : Pär Sjölander; Mohsen Bahmani-Oskooee; Jönköping University; []
   Keywords : Economics; Nationalekonomi;

   Abstract : This doctoral thesis consists of four chapters all related to the field of financial econometrics. The main contributions are based on the empirical evaluation of theories in or related to financial economics supported by the recent advances of models and simulation-based methods in time-series econometrics. READ MORE