Four essays on the econometric modelling of volatility and durations

Four essays on the econometric modelling of volatility and durations

The thesis "Four Essays on the Econometric Modelling of Volatility and Durations" consists of four research papers in the area of financial econometrics on topics of the modelling of financial market volatility and the econometrics of ultra-high-frequency data. The aim of the thesis is to...

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Bibliographic Details
Main Author: Amado, Cristina
Format: Doctoral Thesis
Language:English
Published: Handelshögskolan i Stockholm, Ekonomisk Statistik (ES) 2009
Subjects:
Financial econometrics
Model specification
Misspecification testing
Nonstationarity
GARCH
Unconditional heteroskedasticity
Long financial time series
Ultra-high-frequency data
Diurnal variation
Econometrics
Ekonometri
Online Access:http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-1325
http://nbn-resolving.de/urn:isbn:978-91-7258-794-6

Internet

http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-1325
http://nbn-resolving.de/urn:isbn:978-91-7258-794-6

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