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Essays in computational statistics with applications to volatility forecasting and forecast combination

Knaus, Simon D. - 2014

Der erste Aufsatz der vorliegenden Dissertation untersucht die Dynamik der realisierten Volatilität. Ein erfolgreiches Model in diesem Bereich ist das sogenannte heterogene auto-regressive Modell (HAR), das konzeptionell einfach und gut für Vorhersagen geeignet ist. Eine neue Herangehensweise...

Persistent link: https://www.econbiz.de/10010350528

Stock markets and real-time macroeconomic data

Hartmann, Daniel - 2007

Persistent link: https://www.econbiz.de/10003516924

Investigating the relationship between market values and accounting numbers for 30 selected Australian listed companies

Clout, Victoria Jane - 2007

's market values. The models constructed were typically more informative and had an increased forecasting performance compared …

Persistent link: https://www.econbiz.de/10009437796

Addressing issues in sparseness, ecological bias and formulation of the adjacency matrix in Bayesian spatio-temporal analysis of disease counts

Earnest, Arul - 2010

The main objective of this PhD was to further develop Bayesian spatio-temporal models (specifically the Conditional Autoregressive (CAR) class of models), for the analysis of sparse disease outcomes such as birth defects. The motivation for the thesis arose from problems encountered when...

Persistent link: https://www.econbiz.de/10009438128

The properties of cycles in South African financial variables and their relation to the business cycle

Boshoff, Willem Hendrik - 2006

The goal of this thesis is twofold: it aims, firstly, at a description of cycles in SouthAfrican financial variables and, secondly, at the evaluation of the relationshipbetween cycles in financial variables and the South African business cycle. The studyis based on the original business cycle...

Persistent link: https://www.econbiz.de/10009442149

Development of a model to predict financial distress of companies listed on the JSE

Muller, Grant Henri - 2008

ENGLISH ABSTRACT: To date, there has been significant research completed on the topic of corporate financial distress. Two pioneering researchers in the field of predicting financial distress was Beaver in 1966 and Altman in 1968. More recent research, based on companies listed on the JSE has...

Persistent link: https://www.econbiz.de/10009442208

Dynamic semiparametric factor models

Borak, Szymon - 2008

Hochdimensionale Regressionsprobleme, die sich dynamisch entwickeln, sind in zahlreichen Bereichen der Wissenschaft anzutreffen. Die Dynamik eines solchen komplexen Systems wird typischerweise mittels der Zeitreiheneigenschaften einer geringen Anzahl von Faktoren analysiert. Diese Faktoren...

Persistent link: https://www.econbiz.de/10009467069

Adaptive estimation for financial time series

Mercurio, Danilo - 2004

This thesis develops new locally adaptive methods for estimation and forecasting of financial time series data. These …

Persistent link: https://www.econbiz.de/10009467116

A Multiscale Forecasting Methodology for Power Plant Fleet Management

Chen, Hongmei - 2005

excellence, a more sophisticated system-level decision-making process with a more accurate forecasting support system to manage … overall process. The process includes a forecasting system to provide information for planning for uncertainty. A new … forecasting method is proposed, which utilizes a synergy of several modeling techniques properly combined at different time …

Persistent link: https://www.econbiz.de/10009476053

Econometric Modelling and Forecasting Company's FCF Components

Virbukaitė, Laura - 2010

econometric techniques incorporating accounting and macroeconomic variables. For the modelling and forecasting are selected items …

Persistent link: https://www.econbiz.de/10009478237