Essays on Time Series Analysis : With Applications to Financial Econometrics

Essays on Time Series Analysis : With Applications to Financial Econometrics

This doctoral thesis is comprised of four papers that all relate to the subject of Time Series Analysis. The first paper of the thesis considers point estimation in a nonnegative, hence non-Gaussian, AR(1) model. The parameter estimation is carried out using a type of extreme value estimators (EVEs)...

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Bibliographic Details
Main Author: Preve, Daniel
Format: Doctoral Thesis
Language:English
Published: Uppsala universitet, Institutionen för informationsvetenskap 2008
Subjects:
non-Gaussian time series
nonnegative autoregression
robust estimation
strong convergence
realized volatility
volatility forecast
forecast comparison
Diebold-Mariano test
Statistics
Statistik
Online Access:http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-8638
http://nbn-resolving.de/urn:isbn:978-91-554-7158-3

Internet

http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-8638
http://nbn-resolving.de/urn:isbn:978-91-554-7158-3

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