Search for dissertations about: "financial time series"

Showing result 1 - 5 of 72 swedish dissertations containing the words financial time series.

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

   Author : Daniel Preve; Rolf Larsson; Bent Nielsen; Uppsala universitet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; non-Gaussian time series; nonnegative autoregression; robust estimation; strong convergence; realized volatility; volatility forecast; forecast comparison; Diebold-Mariano test; Statistics; 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

4. 2. Modeling financial volatility : A functional approach with applications to Swedish limit order book data

   Author : Suad Elezovic; Xavier de Luna; Gunnar Rosenqvist; Umeå universitet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; Financial data; functional time series; multivariate generalized least squares; seemingly unrelated autoregression; Statistics; computer and systems science; Statistik; data- och systemvetenskap; ekonometri; Econometrics;

   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

5. 3. Essays on financial time series models : Stochastic volatility and long memory

   Author : Jonas Andersson; Uppsala universitet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; Informatics; computer and systems science; Informatik; data- och systemvetenskap; Informatics; computer and systems science; Informatik; data- och systemvetenskap; statistik; Statistics;

   Abstract : This work consists of five articles about the statistical aspects of financial time series models. The first three papers investigate and develop the inverse normal Gaussian stochastic volatility (NIGSV) model, initially suggested by Barndorff- Nielsen (1997). READ MORE

6. 4. 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

7. 5. Financial literacy, motivated reasoning, and gender : essays in behavioral economics

   Author : Thérèse Lind; Ali M. Ahmed; Gustav Tinghög; Daniel Västfjäll; Morten Lau; Linköpings universitet; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Financial Literacy; Financial Behavior; Financial Well-being; Motivated Reasoning; Gender Differences; Behavioral Economics; Experiments;

   Abstract : I wrote this thesis to create a better understanding of how individual characteristics influence our feelings, our behavior and our way of interpreting information. My focus is on financial behavior and financial information, however I also consider a political context. READ MORE