Search for dissertations about: "conditional unconditional variance"

Found 2 swedish dissertations containing the words conditional unconditional variance.

  1. 1. Empirical Studies of the Market Microstructure on the Swedish Stock Exchange

    University dissertation from Department of Economics, Lund Universtiy

    Author : Lars Nordén; [1996]
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Konjunkturteori; GARCH-processes; Cyclical economics; conditional unconditional variance; intradaily returns; transaction data; extended trading time; index arbitrage; trading non-trading time; OMX-forwards; OMX-index; Market microstructure; cykliska förlopp; the Stockholm Stock Exange;

    Abstract : This thesis consists of five studies on empirical aspects of the market microstructure on the Stockholm Stock Exchange (StSE). The first study presents a stock pricing model which talkes trading and non-trading time effects into account. READ MORE

  2. 2. Essays on Financial Markets

    University dissertation from Department of Economics, Lund Universtiy

    Author : Hans Byström; [2000]
    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