Essays on Modelling and Forecasting Financial Time Series

Essays on Modelling and Forecasting Financial Time Series

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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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Bibliographic Details
Main Author: Coroneo, Laura
Other Authors: Veredas, David
Format: Others
Language:en
Published: Universite Libre de Bruxelles 2009
Subjects:
Forecasting
Yield Curve
High Frequency Financial Returns
Intraday Seasonality
Quantile Regression
No-arbitrage restrictions
Value at Risk
Nelson-Siegel model
Large Cross-Sections
Factor Models
Online Access:http://theses.ulb.ac.be/ETD-db/collection/available/ULBetd-08112009-144000/

Internet

http://theses.ulb.ac.be/ETD-db/collection/available/ULBetd-08112009-144000/

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