Search for dissertations about: "financial Statistics"
Showing result 1 - 5 of 78 swedish dissertations containing the words financial Statistics.
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1. Essays on Gaussian Probability Laws with Stochastic Means and Variances : With Applications to Financial Economics
Abstract : This work consists of four articles concerning Gaussian probability laws with stochastic means and variances. The first paper introduces a new way of approximating the probability distribution of a function of random variables. This is done with a Gaussian probability law with stochastic mean and variance. READ MORE
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2. Essays on Time Series Analysis : With Applications to Financial Econometrics
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
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3. Statistical Modeling of Diffusion Processes with Financial Applications
Abstract : This thesis consists of five papers (Paper A-E) on statistical modeling of diffusion processes. Two papers (Paper A & D) consider Maximum Likelihood estimators for non-linear diffusion processes. READ MORE
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4. Modeling financial volatility : A functional approach with applications to Swedish limit order book data
Abstract : This thesis is designed to offer an approach to modeling volatility in the Swedish limit order market. Realized quadratic variation is used as an estimator of the integrated variance, which is a measure of the variability of a stochastic process in continuous time. READ MORE
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5. Some Contributions to Filtering, Modeling and Forecasting of Heteroscedastic Time Series
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