Search for dissertations about: "detrending filters"

Found 1 swedish dissertation containing the words detrending filters.

2. 1. Some Contributions to Filtering, Modeling and Forecasting of Heteroscedastic Time Series

   Author : Pär Stockhammar; Lars-Erik Öller; Daniel Thorburn; Agustin Maravall; Stockholms universitet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; Heteroscedasticity; variance stabilizing filters; the mixed Normal - Asymmetric Laplace distribution; density forecasting; detrending filters; spectral analysis; the connection between financial data and economic growth; Statistics; Statistik; Statistics; statistik;

   Abstract : Heteroscedasticity (or time-dependent volatility) in economic and financial time series has been recognized for decades. Still, heteroscedasticity is surprisingly often neglected by practitioners and researchers. This may lead to inefficient procedures. READ MORE