Showing 1 - 10 of 17
This thesis consists of four papers concerning modelling of count data and tourism demand. For three of the papers the focus is on the integer-valued autoregressive moving average model class (INARMA), and especially on the INAR(1) model. The fourth paper studies the interaction between...
Persistent link: https://www.econbiz.de/10005651973
In this paper we consider a model for international tourism demand. The analysis departure from a utility function that is both dynamic and stochastic. In the model the stochastic component is interpreted as random changes in preferences for goods and services, whereas the dynamic component can...
Persistent link: https://www.econbiz.de/10005198020
The paper 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 and an outside stock exchange. Using daily data 2000-2006 for the Baltic state stock exchanges and...
Persistent link: https://www.econbiz.de/10005198022
The asymmetric moving average model (asMA) is extended to allow for asymmetric quadratic conditional heteroskedasticity (asQGARCH). The asymmetric parametrization of the conditional variance encompasses the quadratic GARCH model of Sentana (1995). We introduce a framework for testing asymmetries...
Persistent link: https://www.econbiz.de/10005771222
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...
Persistent link: https://www.econbiz.de/10005012478
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...
Persistent link: https://www.econbiz.de/10005424011
This thesis consists of two papers dealing with fertility in Sweden. In paper [1] we discuss possible explanations for the variation in the Swedish fertility. We are primarily interested in economic and social conditions and their impact on the total fertility rate between 1965 and 2003. The...
Persistent link: https://www.econbiz.de/10005424029
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>
Persistent link: https://www.econbiz.de/10005424050
This thesis comprises four papers concerning modelling of financial count data. Paper [1], [2] <p> and [3] advance the integer-valued moving average model (INMA), a special case of integer-valued <p> autoregressive moving average (INARMA) model class, and apply the models to the number of <p> stock...</p></p></p>
Persistent link: https://www.econbiz.de/10005651931
non-linear dynamic models may be characterized and studied, where the degree of stability is defined by the effects of exogenous shocks on the evolution of the observed stochastic system. This type of stability concept is frequently of interest in economics, e.g., in real business cycle theory....
Persistent link: https://www.econbiz.de/10005651945