Search for dissertations about: "Quantile autoregression"

Found 2 swedish dissertations containing the words Quantile autoregression.

  2. 1. Essays on Macro-Financial Linkages

    Author : Rafael Barros de Rezende; Handelshögskolan i Stockholm; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Abstract : This doctoral thesis is a collection of four papers on the analysis of the term structure of interest rates with a focus at the intersection of macroeconomics and finance. "Risk in Macroeconomic Fundamentals and Bond Return Predictability" documents that factors related to risks underlying the macroeconomy such as expectations, uncertainty and downside (upside) macroeconomic risks are able to explain variation in bond risk premia. READ MORE

  4. 2. Essays on Realized Volatility and Jumps

    Author : Marcus Larsson; Nationalekonomiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Jumps; Bi-power variation; High frequency data; Realized volatility;

    Abstract : Financial markets sometimes generate significant discontinuities, so called jumps, triggered by large informational shocks and extreme events. In the last decade, there is an increasing interest in financial economics towards modeling these jumps which may have significant consequences for risk management, and portfolio allocation. READ MORE