Search for dissertations about: "seemingly unrelated autoregression"
Found 1 swedish dissertation containing the words seemingly unrelated autoregression.
1. 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