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

    University dissertation from Umeå

    Author : Suad Elezovic; Xavier de Luna; Gunnar Rosenqvist; [2009]
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Financial data; functional time series; multivariate generalized least squares; seemingly unrelated autoregression; SOCIAL SCIENCES Statistics; computer and systems science; SAMHÄLLSVETENSKAP 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