We argue that the practise of valuing the portfolio is important for the calculation of the V aR. In particular, the seller (buyer) of an asset does not face horizontal demand (supply) curves. We propose a partially new approach for incorporating this fact in the V aR and in an empirical...

Estimation in nonlinear time series models has mainly been performed by least squares or maximum likelihood (ML) methods. The paper suggests and studies the performance of generalized method of moments (GMM) and indirect estimators for the autoregressive asymmetric moving average model. Both...

The paper studies two approaches to modelling conditional skewness in a nonlinear model for stock returns. It is found that a normal distribution can be rejected. A log-generalized gamma distribution with one time-varying density parameter, and in particular a Pearson IV specification with three...

The paper studies Swedish stock series using extreme-value theoretical approaches. In a univariate setting support is found for the Fréchet family of distributions for minima and maxima. Pairs of return series are found to be asymptotically independent throughout. The results render support for...

The daily number of occupied hotel rooms in three large Swedish cities is modelled by an integer-valued and binomial autoregression. The model includes the capacity constraint and price variables are incorporated through the parameters of the model. The model implies a duration of hotel visit...

Lagrange multiplier (LM) test statistics are derived for testing a linear moving average model against an asymmetric moving average model and an LM type test against an additive smooth transition moving average model. The latter model is introduced in the paper. The small sample performance of...

The impact of news of the Moscow and New York stock market exchanges on the <p> returns and volatilities of the Baltic state stock market indices is studied using daily <p> return data for the period of 2000-2005. A nonlinear time series model that accounts <p> for asymmetries in the conditional mean and...</p></p></p>

This thesis consists of four self-contained papers related to the Nordic electricity market. Paper [I] examine how the reform of the Nordic electricity markets has affected competition in the electric power supply market, Nord Pool. The question is if the common power market has been competitive...

This thesis consists of an introductory part and three papers. <p> Paper [I] examines how taxes affect consumption of commodities that are detrimental to health and the environment. Specifically, this paper examines if a tax increase leads to a significantly larger change in consumption than a...</p>

This thesis consists of four self-contained papers related to energy demand and household cooking energy.<p> Paper [I] examine the impact of price, income and non-economic factors on gasoline demand using a structural time series model. The results indicated that non-economic factors did have an...</p>