Search for dissertations about: "time-varying correlation"

Showing result 1 - 5 of 23 swedish dissertations containing the words time-varying correlation.

2. 1. Essays on Stock Market Integration - On Stock Market Efficiency, Price Jumps and Stock Market Correlations

   Author : Yuna Liu; Tomas Sjögren; Jörgen Hellström; Mikael Bask; Umeå universitet; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Time-varying return predictability; Tests for jumps; International financial markets; Market structure; Common trading platform; Integration; Time-varying correlation; C-GARCH; Trust; Portfolio Diversification; Stock Market Participation; nationalekonomi; Economics;

   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

4. 2. Time-Varying Excitation in Fluorescence Spectroscopy for Biological Applications

   Author : Gustav Persson; Jerker Widengren; Måns Ehrenberg; KTH; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; fluorescence; spectroscopy; molecular kinetics; Physics; Fysik;

   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

5. 3. Improving strategic decisions for real estate investors : Perspectives on allocation and management

   Author : Sigrid Katzler; Svante Mandell; Inga-Lill Söderberg; Elias Oikarinen; KTH; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Public real estate; private real estate; MPT; time-varying correlation; liquidity; mixed-asset portfolio; real estate portfolio; diversification; outsourcing; Fastigheter och byggande; Real Estate and Construction 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

6. 4. Dynamic Load Models for Power Systems - Estimation of Time-Varying Parameters During Normal Operation

   Author : Ines Romero; Industriell elektroteknik och automation; []
   Keywords : TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; voltage stability; Load modeling; modeling and identification; dynamic load models; normalization in reactive load models;

   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

7. 5. Modelling and Inference using Locally Stationary Processes : Biomedical applications

   Author : Rachele Anderson; Statistical Signal Processing Group; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; Modelling of Time-Varying Signals; Locally Stationary Processes; Statistical Inference; Time-frequency Estimation; Regression; EEG Signals; HRV Signals;

   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