Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 3 of 3 for “"heterogeneous autoregressive model"”.
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Time Series Models for Finance and the Environment
… on presenting novel filtering methodologies for modelling and analysing features of financial and environmental time series. The methodology used in the chapters is based on the novel observation-driven dynamic conditional score (DCS) class of time series models. The first chapter sets up a DCS …
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Essays in Global Commodity Prices and Realised Volatility
… usual benchmark AR (1). The Mixed Data Sampling models (MIDAS) allow us to obtain forecasts by keeping variables at their original frequencies and therefore to explore the richness of high frequency data. The evidence suggests that MIDAS models estimated recursively, and their analogous monthly …
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Price jumps and volatility in U.S. agricultural futures markets
… forecasts within the context of the new more heterogeneous trading environment. The first essay identifies both the magnitude and the duration of the bias caused by market microstructure noise in measuring efficient price variance in the live cattle futures market from 2011 to 2016, with …