Search for dissertations about: "Suad Elezovic"

Found 1 swedish dissertation containing the words Suad Elezovic.

  1. 1. Modeling financial volatility : A functional approach with applications to Swedish limit order book data

    Author : Suad Elezovic; Xavier de Luna; Gunnar Rosenqvist; Umeå universitet; []
    Keywords : NATURAL SCIENCES; NATURVETENSKAP; Financial data; functional time series; multivariate generalized least squares; seemingly unrelated autoregression; Statistics; computer and systems science; Statistik; data- och systemvetenskap; ekonometri; Econometrics;

    Abstract : This thesis is designed to offer an approach to modeling volatility in the Swedish limit order market. Realized quadratic variation is used as an estimator of the integrated variance, which is a measure of the variability of a stochastic process in continuous time. READ MORE