Search for dissertations about: "multivariate time series garch"

Showing result 1 - 5 of 6 swedish dissertations containing the words multivariate time series garch.

  2. 1. Back on the map : essays on financial markets in the Baltic States

    Author : Albina Soultanaeva; Kurt Brännäs; Hossein Asgharian; Umeå universitet; []
    Keywords : Financial Markets; Time series; GARCH; Asymmetry; News; nationalekonomi; Economics;

    Abstract :  This thesis consists of five self-contained papers, which are all related to the financial markets in the three Baltic States, Estonia, Latvia and Lithuania.  Paper [I] studies the impact of news from the Moscow and New York stock exchanges on the returns and volatilities of the Baltic States' stock market indices using a time series model that accounts for asymmetries in the conditional mean and variance functions. READ MORE

  4. 2. On Risk Prediction

    Author : Carl Lönnbark; Kurt Brännäs; Stefan Mittnik; Umeå universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Finance; Time series; GARCH; Estimation error; Asymmetry; Supply and demand; Econometrics; Ekonometri; ekonometri; Econometrics;

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

  5. 3. 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

  6. 4. Essays in Empirical Finance: Volatility, Interdependencies, and Risk in Emerging Markets

    Author : Anders C Johansson; Göteborgs universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Emerging markets; Asia; China; Stock markets; Bond markets; Exchange rates; Causality; Cointegration; Multivariate GARCH; Dynamic correlation; Timescales; Wavelet analysis; Heterogeneous markets; Multivariate stochastic volatility; Markov chain Monte Carlo; Country risk; Conditional beta;

    Abstract : The four essays in this thesis deal with emerging markets and their empirical characteristics. They mainly explore the relationship among different markets and the thesis cover several asset classes, including stocks, bonds, and exchange rates. READ MORE

  7. 5. Essays on autoregressive conditional heteroskedasticity

    Author : Annastiina Silvennoinen; Handelshögskolan i Stockholm; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Abstract : .... READ MORE