Search for dissertations about: "nonlinear causality"

Found 3 swedish dissertations containing the words nonlinear causality.

  1. 1. Nonlinear and Nonparametric Dynamical Methods in Economics and Finance

    Author : Gazi Salah Uddin; Bo Sjö; Ramo Gencay; Linköpings universitet; []
    Keywords : SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; Commodity markets; Nonlinear causality testing; Dependence structure; Business cycles; Timescale analysis; Growth dynamics; Portfolio management;

    Abstract : The objectives of the thesis - which comprises six parts – can be summarized in i) implementing linear and nonlinear/nonparametric approaches toward detecting, measuring and analyzing the nature and directionality of causal relationships in financial markets, ii) elaborating on modern topics in financial investment analysis, iii) probing into the role of commodity futures in constructing optimal portfolios as well as iv) investigating growth dynamics via aggregated and disaggregated indices.The first paper named “Analyzing causal interactions between sectoral equity returns and commodity futures returns in the aftermath of the global financial crisis: The case of the US and EU equity returns”, aims to explore and compare the dependence and co-movement structure between commodity and various asset classes’ returns including the USA and EU stock markets via the use of linear and non-linear causality testing in a comparative context with the additional adjustment for cointegration and conditional heteroscedasticity. READ MORE

  2. 2. Three Essays on Electricity Spot and Financial Derivative Prices at the Nordic Power Exchange

    Author : Daniel Deng; Göteborgs universitet; Göteborgs universitet; Gothenburg University; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Nord Pool; market efficiency; cointegration; rational expectation competitive storage model; BDS test; Hsiehâ??s third order moment test; nonlinear causality; EGARCH; convenience yield; call option;

    Abstract : Essay I examines the market efficiency issues at the Nord Pool power exchange in the September 1995 - July 2002 period. A unique characteristic of this electricity exchange is the high hydropower proportion in the traded electricity; water in the hydro reservoir acting as hydropower inventory therefore plays an important role in the pricing of electricity. READ MORE

  3. 3. Electromagnetic Waves in Media with Ferromagnetic Losses

    Author : Jörgen Ramprecht; Martin Norgren; Constantin Simovski; KTH; []

    Abstract : The operation of a wide variety of applications in today's modern society are heavily dependent on the magnetic properties of ferromagnetic materials and their interaction with electromagnetic fields. The understanding of these interactions and the associated loss mechanisms is therefore crucial for the improvement and future development of such applications. READ MORE