Blar i Institutt for internasjonal forretningsdrift på emneord "Time series analysis"
Viser treff 1-2 av 2
-
Bootstrapped Nonlinear Impulse-Response Analysis: The FTSE100 (UK) and the NDX100 (US) Indices 2012-2021
(Peer reviewed; Journal article, 2021)This paper presents bootstrapped nonlinear impulse response function analyses for general step ahead mean and volatility densities. From strictly (ergodic and) stationary series and BIC optimal non-linear model coefficients ... -
Projecting and Forecasting Stochastic Volatility Characteristics for the Nasdaq OMX Nordic/Baltic Financial Electricity Markets
(Journal article, 2021)This paper builds, implements and interprets multifactor stochastic volatility models for the Nordic/Baltic electricity markets. The main objective is step ahead volatility projections followed by volatility forecasts and ...