On Risk Prediction
This thesis comprises four papers concerning risk prediction. Paper [I] suggests a nonlinear and multivariate time series model framework that enables the study of simultaneity in returns and in volatilities, as well as asymmetric effects arising from shocks. Using daily data 2000-2006 for the Balti...
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Format: | Doctoral Thesis |
Language: | English |
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Umeå universitet, Nationalekonomi
2009
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Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-22200 |