Essays on Modelling and Forecasting Financial Time Series
This thesis is composed of three chapters which propose some novel approaches to model and forecast financial time series. The first chapter focuses on high frequency financial returns and proposes a quantile regression approach to model their intraday seasonality and dynamics. The second chapter de...
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| Format: | Others |
| Language: | en |
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Universite Libre de Bruxelles
2009
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| Online Access: | http://theses.ulb.ac.be/ETD-db/collection/available/ULBetd-08112009-144000/ |