Search for dissertations about: "bekk"

Found 2 swedish dissertations containing the word bekk.

  2. 1. Multivariate Modelling of Energy Markets

    Author : Veronika Lunina; Nationalekonomiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; energy markets; volatility spillover; skew-Student asymmetric BEKK; volatility impulse response function; temperature; hydrobalance; electricity;

    Abstract : This thesis contributes to the empirical energy finance literature and consists of three research papers. The common denominator for all papers is the multivariate modelling approach, placing the electricity market at the core and delving into its interdependencies on fundamentally related markets and factors. READ MORE

  4. 2. Essays on Prospect Theory and the Statistical Modeling of Financial Returns

    Author : Martin Ågren; Annika Alexius; Rolf Larsson; Enrico De Giorgi; Uppsala universitet; []
    Keywords : Economics; Nationalekonomi;

    Abstract : This thesis consists of three self-contained essaysEssay 1 presents an empirical study of volatility spillover from oil prices to stock markets within an asymmetric BEKK model. Using weekly data on the aggregate stock markets of Japan, Norway, Sweden, the U.K., and the U. READ MORE