Search for dissertations about: "Monte Carlo, econometrics"

Showing result 1 - 5 of 23 swedish dissertations containing the words Monte Carlo, econometrics.

2. 1. Essays on Time Series Analysis : With Applications to Financial Econometrics

   Author : Daniel Preve; Rolf Larsson; Bent Nielsen; Uppsala universitet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; non-Gaussian time series; nonnegative autoregression; robust estimation; strong convergence; realized volatility; volatility forecast; forecast comparison; Diebold-Mariano test; Statistics; Statistik;

   Abstract : This doctoral thesis is comprised of four papers that all relate to the subject of Time Series Analysis.The first paper of the thesis considers point estimation in a nonnegative, hence non-Gaussian, AR(1) model. The parameter estimation is carried out using a type of extreme value estimators (EVEs). READ MORE

4. 2. Applications of Bayesian Econometrics to Financial Economics

   Author : Christoffer Bengtsson; Nationalekonomiska institutionen; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; economic systems; economic theory; econometrics; Economics; systemic risk; stochastic volatility; jump-diffusion; shrinkage; covariance matrix estimation; estimation risk; portfolio selection; mean-variance optimization; Markov chain Monte Carlo; Bayesian econometrics; ekonomisk politik; ekonomiska system; ekonomisk teori; ekonometri; Nationalekonomi; economic policy;

   Abstract : This PhD thesis consists of four separate papers. What these papers have in common is that Bayesian Econometrics, in combination with Markov chain Monte Carlo (MCMC) methods, is applied to study various problems in financial economics. READ MORE

5. 3. Financial Applications of Markov Chain Monte Carlo Methods

   Author : Andreas Graflund; Nationalekonomiska institutionen; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Finansiering; Financial science; ekonomiska system; ekonomisk politik; ekonomisk teori; Nationalekonomi; economic policy; economic systems; economic theory; Economics; econometrics; Mean Reversion; Diversification; Real Estate Stocks; Markov Chain Monte Carlo Methods; Stock Markets; ekonometri;

   Abstract : This thesis consists of four empirical studies on financial economics. The first chapter contains a short summary of the thesis. READ MORE

6. 4. Essays on Panel Cointegration

   Author : Joakim Westerlund; Nationalekonomiska institutionen; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Cross-Sectional Dependence; Common factor restriction; Feldstein-Horioka Puzzle; Fisher Hypothesis; economic policy; economic theory; economic systems; Economics; econometrics; Structural Break.; Sieve Bootstrap; Information Criteria; Residual-Based Cointegration Test; Panel Cointegration; Monte Carlo Simulation; Model Selection; International R D Spillovers; International Health Care Expenditures;

   Abstract : This thesis develops new techniques for analyzing cointegrated relationships in panel data. The first chapter is introductory while the remaining six contain the main contributions. READ MORE

7. 5. Aspects of Moment Testing when p>n

   Author : Zhizheng Wang; Thomas Holgersson; Miguel Fonseca; Linnéuniversitetet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; High-dimensional data; Asymptotic distribution; Kolmogorov condition; Monte Carlo simulation; Hypothesis testing; Skewness and kurtosis; Statistics Econometrics; Statistik;

   Abstract : This thesis concerns the problem of statistical hypothesis testing for mean vector as well as testing for non-normality in a high-dimensional setting which is called the Kolmogorov condition. Since we consider mainly the first and the second moment in testing for mean vector and we utilize the third and the fourth moment in testing for non-normality, this thesis concerns a more general moment testing problem. READ MORE