Essays on multivariate volatility and dependence models for financial time series

Essays on multivariate volatility and dependence models for financial time series

<p>This thesis investigates the modelling and forecasting of multivariate volatility and dependence in financial time series. The first paper proposes a new model for forecasting changes in the term structure (TS) of interest rates. Using the level, slope and curvature factors of the dynamic N...

Cur síos iomlán

Sonraí bibleagrafaíochta
Príomhchruthaitheoir:	Noureldin, D
Rannpháirtithe:	Shephard, N
Formáid:	Tráchtas
Teanga:	English
Foilsithe / Cruthaithe:	2011
Ábhair:	Econometrics Economics Financial economics

Míreanna comhchosúla

Essays on forecast evaluation and financial econometrics
de réir: Lund-Jensen, K
Foilsithe / Cruthaithe: (2013)

A Continuing Approach, from Financial Economics to Financial Econometrics or the Econometric Thinking Applied to Financial Economics
de réir: Gheorghe Săvoiu, et al.
Foilsithe / Cruthaithe: (2013-04-01)

Essays on hedge fund illiquidity, return predictability, and time-varying risk exposure
de réir: Kruttli, M
Foilsithe / Cruthaithe: (2015)

Essays in panel data and financial econometrics
de réir: Pakel, C
Foilsithe / Cruthaithe: (2012)

Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics
de réir: Barndorff-Nielsen, O, et al.
Foilsithe / Cruthaithe: (2001)

Inference for adaptive time series models: stochastic volatility and conditionally Gaussian state space form
de réir: Bos, C, et al.
Foilsithe / Cruthaithe: (2006)

Econometrics of testing for jumps in financial economics using bipower variation
de réir: Barndorff-Nielsen, O, et al.
Foilsithe / Cruthaithe: (2005)

Essays on interconnected markets
de réir: Watugala, S
Foilsithe / Cruthaithe: (2015)

Exact score for time series models in state space form
de réir: Koopman, S, et al.
Foilsithe / Cruthaithe: (1992)

Realised power variation and stochastic volatility models
de réir: Barndorff-Nielsen, O, et al.
Foilsithe / Cruthaithe: (2003)

Detecting shocks: outliers and breaks in time series
de réir: Atkinson, A, et al.
Foilsithe / Cruthaithe: (1997)

Markov chain Monte Carlo methods for stochastic volatility models
de réir: Chib, S, et al.
Foilsithe / Cruthaithe: (2002)

Integrated OU processes and non-Gaussian OU-based stochastic volatility models
de réir: Barndorff-Nielsen, O, et al.
Foilsithe / Cruthaithe: (2003)

Essays in international economics and the environment
de réir: Feddersen, J
Foilsithe / Cruthaithe: (2013)

Power and bipower variation with stochastic volatility and jumps
de réir: Barndorff-Nielsen, O, et al.
Foilsithe / Cruthaithe: (2004)

Power variation and stochastic volatility: a review and some new results
de réir: Barndorff-Nielsen, O, et al.
Foilsithe / Cruthaithe: (2004)

Financial Sector Reforms and Economic Growth: Evidence from Nigeria
de réir: Enitan O. Olowofela, et al.
Foilsithe / Cruthaithe: (2018-07-01)

Limit theorems for bipower variations in financial econometrics
de réir: Barndorff-Nielsen, O, et al.
Foilsithe / Cruthaithe: (2006)

Essays on econometrics and planning. Presented to P C Mahalanobis on the occasion of his 70th. birthday /
de réir: Rao, C. Radhakrishna (Calyampudi Radhakrishna), 1920-, et al.
Foilsithe / Cruthaithe: (1965)

Forecasting economic time series /
de réir: 350956 Clements, Michael, et al.
Foilsithe / Cruthaithe: (1998)

Complexity and financial panics
de réir: Caballero, Ricardo J., et al.
Foilsithe / Cruthaithe: (2011)

Complexity and financial panics
de réir: Caballero, Ricardo J., et al.
Foilsithe / Cruthaithe: (2011)

Essays in financial stability under financial frictions
de réir: Martínez-Sepulveda, J, et al.
Foilsithe / Cruthaithe: (2012)

Simulation-based likelihood inference for limited dependent processes
de réir: Manrique, A, et al.
Foilsithe / Cruthaithe: (1998)

Econometric analysis of realised covariation: high frequency based covariance, regression and correlation in financial economics
de réir: Barndorff-Nielsen, O, et al.
Foilsithe / Cruthaithe: (2004)

Time series and dynamic models /
de réir: Gourieroux, Christian, 1949-, et al.
Foilsithe / Cruthaithe: (1997)

Essays on applied industrial organisation
de réir: Manachotphong, W
Foilsithe / Cruthaithe: (2009)

Power variation and time change
de réir: Barndorff-Nielsen, O, et al.
Foilsithe / Cruthaithe: (2006)

The Effect of Financialization on Economic Growth in Developing Countries with Large Financial Sectors
de réir: M. R. Mabeba
Foilsithe / Cruthaithe: (2024-08-01)

Essays on money and financial frictions in finance and macroeconomics
de réir: Wang, X
Foilsithe / Cruthaithe: (2020)

Economic Time Series : Modeling and Seasonality /
de réir: Bell, William R., 1943-, editor 549370, et al.
Foilsithe / Cruthaithe: (2012)

Sub-sample model selection procedures in general-to-specific modelling
de réir: Hendry, D, et al.
Foilsithe / Cruthaithe: (2004)

Econometric modeling and inference /
de réir: 285891 Florens, J. P., et al.
Foilsithe / Cruthaithe: (2007)

Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
de réir: Barndorff-Nielsen, O, et al.
Foilsithe / Cruthaithe: (2005)

A dialogue concerning a new instrument for econometric modeling
de réir: Granger, C, et al.
Foilsithe / Cruthaithe: (2005)

Handbook of computrational econometrics /
de réir: 315105 Belsley, David A., et al.
Foilsithe / Cruthaithe: (2009)

Essays on product quality, international trade and welfare
de réir: Baller, S
Foilsithe / Cruthaithe: (2014)

The nonparametric approach to demand analysis: essays in revealed preference theory
de réir: Adams, A
Foilsithe / Cruthaithe: (2013)

Estimation of an asymmetric model of asset prices
de réir: Harvey, A
Foilsithe / Cruthaithe: (1996)

Dynamics of trade-by-trade price movements: decomposition and models
de réir: Rydberg, T, et al.
Foilsithe / Cruthaithe: (2003)