Search for dissertations about: "econometrics"

Showing result 1 - 5 of 127 swedish dissertations containing the word econometrics.

  1. 1. Essays on Time Series Analysis With Applications to Financial Econometrics

    University dissertation from Uppsala : Acta Universitatis Upsaliensis

    Author : Daniel Preve; Rolf Larsson; Bent Nielsen; [2008]
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; non-Gaussian time series; nonnegative autoregression; robust estimation; strong convergence; realized volatility; volatility forecast; forecast comparison; Diebold-Mariano test; SOCIAL SCIENCES Statistics; computer and systems science Statistics; SAMHÄLLSVETENSKAP Statistik; data- och systemvetenskap Statistik;

    Abstract : This doctoral thesis is comprised of four papers that all relate to the subject of Time Series Analysis.The first paper of the thesis considers point estimation in a nonnegative, hence non-Gaussian, AR(1) model. The parameter estimation is carried out using a type of extreme value estimators (EVEs). READ MORE

  2. 2. Applications of Bayesian Econometrics to Financial Economics

    University dissertation from Department of Economics, Lund Universtiy

    Author : Christoffer Bengtsson; [2006]
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; economic systems; economic theory; econometrics; Economics; systemic risk; stochastic volatility; jump-diffusion; shrinkage; covariance matrix estimation; estimation risk; portfolio selection; mean-variance optimization; Markov chain Monte Carlo; Bayesian econometrics; ekonomisk politik; ekonomiska system; ekonomisk teori; ekonometri; Nationalekonomi; economic policy;

    Abstract : This PhD thesis consists of four separate papers. What these papers have in common is that Bayesian Econometrics, in combination with Markov chain Monte Carlo (MCMC) methods, is applied to study various problems in financial economics. READ MORE

  3. 3. On specification and inference in the econometrics of public procurement

    University dissertation from Umeå : Umeå universitet

    Author : David Sundström; Kurt Brännäs; Sofia Lundberg; Michael Visser; [2016]
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; auctions; dependent variable transformation model; green public procurement; indirect inference; instrumental variable; latent variable; log-generalized gamma distribution; maximum likelihood; measurement error; non-linear least squares; objective effectiveness; orthogonal polynomial regression; prediction; simulation estimation; structural estimation; nationalekonomi; Economics; ekonometri; Econometrics;

    Abstract : In Paper [I] we use data on Swedish public procurement auctions for internal regularcleaning service contracts to provide novel empirical evidence regarding green publicprocurement (GPP) and its effect on the potential suppliers’ decision to submit a bid andtheir probability of being qualified for supplier selection. We find only a weak effect onsupplier behavior which suggests that GPP does not live up to its political expectations. READ MORE

  4. 4. On Risk Prediction

    University dissertation from Umeå : Umeå universitet

    Author : Carl Lönnbark; Kurt Brännäs; Stefan Mittnik; [2009]
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Finance; Time series; GARCH; Estimation error; Asymmetry; Supply and demand; SOCIAL SCIENCES Business and economics Economics Econometrics; SAMHÄLLSVETENSKAP Ekonomi Nationalekonomi Ekonometri; ekonometri; Econometrics;

    Abstract : This thesis comprises four papers concerning risk prediction.Paper [I] suggests a nonlinear and multivariate time series modelframework that enables the study of simultaneity in returns and involatilities, as well as asymmetric effects arising from shocks. READ MORE

  5. 5. Common Features in Vector Nonlinear Time Series Models

    University dissertation from Öerbro : Örebro University

    Author : Dao Li; Sune Karlsson; Kenneth Carling; Thomas Holgersson; [2013]
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Nonlinearity; Time series; Econometrics; Smooth transition; Common features; Cointegration; Forecasting; Residual-based; PPP.; Komplexa system - mikrodataanalys;

    Abstract : This thesis consists of four manuscripts in the area of nonlinear time series econometrics on topics of testing, modeling and forecasting nonlinear common features. The aim of this thesis is to develop new econometric contributions for hypothesis testing and forecasting in these area.Both stationary and nonstationary time series are concerned. READ MORE