Sökning: "autoregressive random coefficients"
Hittade 2 uppsatser innehållade orden autoregressive random coefficients.
- Master-uppsats, Lunds universitet/Matematisk statistik
Sammanfattning : In this thesis some results for a model that is a merge between the random coefficient autoregressive model of order one and a stochastic process with local interaction in time and space are presented. The first part of the thesis deals with some result from the random coefficient model. LÄS MER
- Master-uppsats, Lunds universitet/Fysiska institutionen; Lunds universitet/Matematisk fysik
Sammanfattning : Return models and covariance matrices of return series have been studied. In particular, GARCH and SV models are compared with respect to their forecasting accuracy when applied to intraday return series. SV models are found to be considerably more accurate and more consistent in accuracy in forecasting. LÄS MER