Search for dissertations about: "time-varying correlation"
Showing result 1 - 5 of 23 swedish dissertations containing the words time-varying correlation.
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1. Essays on Stock Market Integration - On Stock Market Efficiency, Price Jumps and Stock Market Correlations
Abstract : This thesis consists of four self-contained papers related to the change of market structure and the quality of equity market.In Paper [I] we found, by using of a Flexible Dynamic Component Correlations (FDCC) model, that the creation of a common cross-border stock trading platform has increased the long-run trends in conditional correlations between foreign and domestic stock market returns. READ MORE
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2. Time-Varying Excitation in Fluorescence Spectroscopy for Biological Applications
Abstract : The focus of this thesis is to explore and use the benefits of time-varying excitation in fluorescence spectroscopy for studies of biomolecular dynamics. Two new techniques taking advantage of modulated excitation are presented. READ MORE
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3. Improving strategic decisions for real estate investors : Perspectives on allocation and management
Abstract : Real estate is an attractive asset class in the mixed-asset portfolio due to favorable risk return characteristics and low correlations with other asset classes like stock and bonds. Unlike financial assets, real estate is a physical asset where large lot sizes/indivisibility, heterogeneity, low liquidity and high transaction costs make applying financial models like modern portfolio theory (MPT) challenging. READ MORE
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4. Dynamic Load Models for Power Systems - Estimation of Time-Varying Parameters During Normal Operation
Abstract : Economic and environmental concerns will slow down the expansion of the transmission system in many countries. The addition of new transmission lines will be few and far between. The de-regulation of the power supply will introduce new power flow patterns on the bulk transmission systems. READ MORE
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5. Modelling and Inference using Locally Stationary Processes : Biomedical applications
Abstract : This thesis considers statistical methods for non-stationary signals, specifically stochastic modelling, inference on the model parameters and optimal spectral estimation. The models are based on Silverman’s definition of Locally Stationary Processes (LSPs). READ MORE