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...

पूर्ण विवरण

ग्रंथसूची विवरण
मुख्य लेखक:	Noureldin, D
अन्य लेखक:	Shephard, N
स्वरूप:	थीसिस
भाषा:	English
प्रकाशित:	2011
विषय:	Econometrics Economics Financial economics

समान संसाधन

Essays on forecast evaluation and financial econometrics
द्वारा: Lund-Jensen, K
प्रकाशित: (2013)

A Continuing Approach, from Financial Economics to Financial Econometrics or the Econometric Thinking Applied to Financial Economics
द्वारा: Gheorghe Săvoiu, और अन्य
प्रकाशित: (2013-04-01)

Essays on hedge fund illiquidity, return predictability, and time-varying risk exposure
द्वारा: Kruttli, M
प्रकाशित: (2015)

Essays in panel data and financial econometrics
द्वारा: Pakel, C
प्रकाशित: (2012)

Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics
द्वारा: Barndorff-Nielsen, O, और अन्य
प्रकाशित: (2001)

Inference for adaptive time series models: stochastic volatility and conditionally Gaussian state space form
द्वारा: Bos, C, और अन्य
प्रकाशित: (2006)

Econometrics of testing for jumps in financial economics using bipower variation
द्वारा: Barndorff-Nielsen, O, और अन्य
प्रकाशित: (2005)

Essays on interconnected markets
द्वारा: Watugala, S
प्रकाशित: (2015)

Exact score for time series models in state space form
द्वारा: Koopman, S, और अन्य
प्रकाशित: (1992)

Realised power variation and stochastic volatility models
द्वारा: Barndorff-Nielsen, O, और अन्य
प्रकाशित: (2003)

Detecting shocks: outliers and breaks in time series
द्वारा: Atkinson, A, और अन्य
प्रकाशित: (1997)

Markov chain Monte Carlo methods for stochastic volatility models
द्वारा: Chib, S, और अन्य
प्रकाशित: (2002)

Integrated OU processes and non-Gaussian OU-based stochastic volatility models
द्वारा: Barndorff-Nielsen, O, और अन्य
प्रकाशित: (2003)

Essays in international economics and the environment
द्वारा: Feddersen, J
प्रकाशित: (2013)

Power and bipower variation with stochastic volatility and jumps
द्वारा: Barndorff-Nielsen, O, और अन्य
प्रकाशित: (2004)

Power variation and stochastic volatility: a review and some new results
द्वारा: Barndorff-Nielsen, O, और अन्य
प्रकाशित: (2004)

Financial Sector Reforms and Economic Growth: Evidence from Nigeria
द्वारा: Enitan O. Olowofela, और अन्य
प्रकाशित: (2018-07-01)

Limit theorems for bipower variations in financial econometrics
द्वारा: Barndorff-Nielsen, O, और अन्य
प्रकाशित: (2006)

Essays on econometrics and planning. Presented to P C Mahalanobis on the occasion of his 70th. birthday /
द्वारा: Rao, C. Radhakrishna (Calyampudi Radhakrishna), 1920-, और अन्य
प्रकाशित: (1965)

Forecasting economic time series /
द्वारा: 350956 Clements, Michael, और अन्य
प्रकाशित: (1998)

Complexity and financial panics
द्वारा: Caballero, Ricardo J., और अन्य
प्रकाशित: (2011)

Complexity and financial panics
द्वारा: Caballero, Ricardo J., और अन्य
प्रकाशित: (2011)

Essays in financial stability under financial frictions
द्वारा: Martínez-Sepulveda, J, और अन्य
प्रकाशित: (2012)

Simulation-based likelihood inference for limited dependent processes
द्वारा: Manrique, A, और अन्य
प्रकाशित: (1998)

Econometric analysis of realised covariation: high frequency based covariance, regression and correlation in financial economics
द्वारा: Barndorff-Nielsen, O, और अन्य
प्रकाशित: (2004)

Time series and dynamic models /
द्वारा: Gourieroux, Christian, 1949-, और अन्य
प्रकाशित: (1997)

Essays on applied industrial organisation
द्वारा: Manachotphong, W
प्रकाशित: (2009)

Power variation and time change
द्वारा: Barndorff-Nielsen, O, और अन्य
प्रकाशित: (2006)

The Effect of Financialization on Economic Growth in Developing Countries with Large Financial Sectors
द्वारा: M. R. Mabeba
प्रकाशित: (2024-08-01)

Essays on money and financial frictions in finance and macroeconomics
द्वारा: Wang, X
प्रकाशित: (2020)

Economic Time Series : Modeling and Seasonality /
द्वारा: Bell, William R., 1943-, editor 549370, और अन्य
प्रकाशित: (2012)

Sub-sample model selection procedures in general-to-specific modelling
द्वारा: Hendry, D, और अन्य
प्रकाशित: (2004)

Econometric modeling and inference /
द्वारा: 285891 Florens, J. P., और अन्य
प्रकाशित: (2007)

Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
द्वारा: Barndorff-Nielsen, O, और अन्य
प्रकाशित: (2005)

A dialogue concerning a new instrument for econometric modeling
द्वारा: Granger, C, और अन्य
प्रकाशित: (2005)

Handbook of computrational econometrics /
द्वारा: 315105 Belsley, David A., और अन्य
प्रकाशित: (2009)

Essays on product quality, international trade and welfare
द्वारा: Baller, S
प्रकाशित: (2014)

The nonparametric approach to demand analysis: essays in revealed preference theory
द्वारा: Adams, A
प्रकाशित: (2013)

Estimation of an asymmetric model of asset prices
द्वारा: Harvey, A
प्रकाशित: (1996)

Dynamics of trade-by-trade price movements: decomposition and models
द्वारा: Rydberg, T, और अन्य
प्रकाशित: (2003)