Search for dissertations about: "Model misspecification"

Showing result 6 - 10 of 32 swedish dissertations containing the words Model misspecification.

  2. 6. Essays on Financial Market Volatility

    Author : Ai Jun HOU; Nationalekonomiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Nonparametric GARCH model; News Impact Curve; Interest rate volatility; MCMC; Markov Switching; Chinese stock markets; EMU stock markets;

    Abstract : This thesis examines the volatility in the equity and short-term interest-rate markets, and the spillover from the short term interest rate market to the equity market. It consists of three papers and focuses on adapting and proposing models for the estimation and forecasting of financial market volatility. READ MORE

  4. 7. Applied Adaptive Optimal Design and Novel Optimization Algorithms for Practical Use

    Author : Eric Strömberg; Andrew Hooker; Mats Karlsson; Timothy Waterhouse; Uppsala universitet; []
    Keywords : MEDICIN OCH HÄLSOVETENSKAP; MEDICAL AND HEALTH SCIENCES; Nonlinear Mixed Effects Models; Pharmacometrics; Fisher Information Matrix; Approximation; Optimality Criterion; Parallelization; Model Based Adaptive Optimal Design; Pharmaceutical Science; Farmaceutisk vetenskap;

    Abstract : The costs of developing new pharmaceuticals have increased dramatically during the past decades. Contributing to these increased expenses are the increasingly extensive and more complex clinical trials required to generate sufficient evidence regarding the safety and efficacy of the drugs. READ MORE

  5. 8. Essays on nonlinear time series modelling och hypothesis testing

    Author : Birgit Strikholm; Handelshögskolan i Stockholm; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES;

    Abstract : There seems to be a common understanding nowadays that the economy is nonlinear. Economic theory suggests features that can not be incorporated into linear frameworks, and over the decades a solid body of empirical evidence of nonlinearities in economic time series has been gathered. READ MORE

  6. 9. The market impact of short-sale constraints

    Author : Roland Nilsson; Handelshögskolan i Stockholm; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Abstract : The thesis addresses two areas of research within financial economics: empirical asset pricing and the borderline area between finance and economics with emphasis on econometrical methods. The empirical asset pricing section considers the effects of short-sale constraints on both the stock market as well as the derivatives market. READ MORE

  7. 10. 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