Search for dissertations about: "conditional covariance matrix"

Showing result 1 - 5 of 7 swedish dissertations containing the words conditional covariance matrix.

  2. 1. Modeling the covariance matrix of financial asset returns

    Author : Gustav Alfelt; Joanna Tyrcha; Taras Bodnar; Vasyl Golosnoy; Stockholms universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Realized covariance; Autoregressive time-series; Goodness-of-fit test; Matrix singularity; Portfolio theory; Wishart distribution; Matrix-variate gamma distribution; Parameter estimation; High-dimensional data; Moore-Penrose inverse; matematisk statistik; Mathematical Statistics;

    Abstract : The covariance matrix of asset returns, which describes the fluctuation of asset prices, plays a crucial role in understanding and predicting financial markets and economic systems. In recent years, the concept of realized covariance measures has become a popular way to accurately estimate return covariance matrices using high-frequency data. READ MORE

  4. 2. Essays on Financial Markets

    Author : Hans Byström; Nationalekonomiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Electricity Futures; Option Pricing; Compass Rose; Covariance Matrix; Chaos; Stochastic Volatility; Financial Markets; GARCH; Financial science; Finansiering;

    Abstract : This thesis consists of five empirical essays dealing with different issues related to financial markets. Chapter 2 studies a new multivariate technique, Orthogonal GARCH, of forecasting large covariance matrices based on GARCH models. READ MORE

  5. 3. Four Essays on Building Conditional Correlation GARCH Models

    Author : Tomoaki Nakatani; Handelshögskolan i Stockholm; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES;

    Abstract : This thesis consists of four research papers. The main focus is on building the multivariate Conditional Correlation (CC-) GARCH models. In particular, emphasis lies on considering an extension of CC-GARCH models that allow for interactions or causality in conditional variances. READ MORE

  6. 4. Issues of multicollinearity and conditional heteroscedasticy in time series econometrics

    Author : Kristofer Månsson; Ghazi Shukur; Sneh Gulati; Jönköping University; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES;

    Abstract : This doctoral thesis consists of four chapters all related to the field of time series econometrics. The main contribution is firstly the development of robust methods when testing for Granger causality in the presence of generalized autoregressive conditional heteroscedasticity (GARCH) and causality-in-variance (i.e. spillover) effects. READ MORE

  7. 5. Essays on univariate long memory models

    Author : Johan Lyhagen; Uppsala universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Statistics; Statistik; Statistics; Statistik; Statistics; statistik;

    Abstract : This thesis consists of five papers dealing with univariate long memory modelsin time series analysis.The first paper examines the performance of information criteria when usedto determine the lag order of a long memory process. The results indicate thatinformation criteria cannot be used successfully for small sample sizes. READ MORE