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You searched for subject:(Conditional Forecasting). Showing records 1 – 20 of 20 total matches.

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Universidade Nova

1. Peixoto, Carla Sofia Nobre. What is the value of value-at-risk after all?: A conditional approach using quantile regressions.

Degree: 2009, Universidade Nova

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business… (more)

Subjects/Keywords: Value-at-risk; Conditional approach; Quantile regression; Out-of-sample forecasting

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APA (6th Edition):

Peixoto, C. S. N. (2009). What is the value of value-at-risk after all?: A conditional approach using quantile regressions. (Thesis). Universidade Nova. Retrieved from http://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/9475

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Peixoto, Carla Sofia Nobre. “What is the value of value-at-risk after all?: A conditional approach using quantile regressions.” 2009. Thesis, Universidade Nova. Accessed December 14, 2019. http://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/9475.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Peixoto, Carla Sofia Nobre. “What is the value of value-at-risk after all?: A conditional approach using quantile regressions.” 2009. Web. 14 Dec 2019.

Vancouver:

Peixoto CSN. What is the value of value-at-risk after all?: A conditional approach using quantile regressions. [Internet] [Thesis]. Universidade Nova; 2009. [cited 2019 Dec 14]. Available from: http://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/9475.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Peixoto CSN. What is the value of value-at-risk after all?: A conditional approach using quantile regressions. [Thesis]. Universidade Nova; 2009. Available from: http://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/9475

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Uppsala University

2. Hartman, Joel. Forecasting Conditional Correlation for Exchange Rates using Multivariate GARCH models with Historical Value-at-Risk application.

Degree: Economics, 2013, Uppsala University

  The generalization from the univariate volatility model into a multivariate approach opens up a variety of modeling possibilities. This study aims to examine the… (more)

Subjects/Keywords: multivariate GARCH; exchange rates; conditional correlation; forecasting; Value-at-Risk

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APA (6th Edition):

Hartman, J. (2013). Forecasting Conditional Correlation for Exchange Rates using Multivariate GARCH models with Historical Value-at-Risk application. (Thesis). Uppsala University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-202710

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Hartman, Joel. “Forecasting Conditional Correlation for Exchange Rates using Multivariate GARCH models with Historical Value-at-Risk application.” 2013. Thesis, Uppsala University. Accessed December 14, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-202710.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Hartman, Joel. “Forecasting Conditional Correlation for Exchange Rates using Multivariate GARCH models with Historical Value-at-Risk application.” 2013. Web. 14 Dec 2019.

Vancouver:

Hartman J. Forecasting Conditional Correlation for Exchange Rates using Multivariate GARCH models with Historical Value-at-Risk application. [Internet] [Thesis]. Uppsala University; 2013. [cited 2019 Dec 14]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-202710.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Hartman J. Forecasting Conditional Correlation for Exchange Rates using Multivariate GARCH models with Historical Value-at-Risk application. [Thesis]. Uppsala University; 2013. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-202710

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Uppsala University

3. Nybrant, Arvid. Predicting Uncertainty in Financial Markets : -An empirical study on ARCH-class models ability to estimate Value at Risk.

Degree: Statistics, 2018, Uppsala University

  Value at Risk has over the last couple of decades become one of the most widely used measures of market risk. Several methods to… (more)

Subjects/Keywords: VaR; GARCH; Volatility Forecasting; Backtesting; Conditional Heteroscedasticity; Probability Theory and Statistics; Sannolikhetsteori och statistik

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APA (6th Edition):

Nybrant, A. (2018). Predicting Uncertainty in Financial Markets : -An empirical study on ARCH-class models ability to estimate Value at Risk. (Thesis). Uppsala University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-352381

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Nybrant, Arvid. “Predicting Uncertainty in Financial Markets : -An empirical study on ARCH-class models ability to estimate Value at Risk.” 2018. Thesis, Uppsala University. Accessed December 14, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-352381.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Nybrant, Arvid. “Predicting Uncertainty in Financial Markets : -An empirical study on ARCH-class models ability to estimate Value at Risk.” 2018. Web. 14 Dec 2019.

Vancouver:

Nybrant A. Predicting Uncertainty in Financial Markets : -An empirical study on ARCH-class models ability to estimate Value at Risk. [Internet] [Thesis]. Uppsala University; 2018. [cited 2019 Dec 14]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-352381.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Nybrant A. Predicting Uncertainty in Financial Markets : -An empirical study on ARCH-class models ability to estimate Value at Risk. [Thesis]. Uppsala University; 2018. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-352381

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Uppsala University

4. Enocksson, David. Evaluating VaR with the ARCH/GARCH Family.

Degree: Statistics, 2012, Uppsala University

  The aim of the thesis is to identify an appropriate model in forecasting Value-at-Risk on a morevolatile period than that one from which the… (more)

Subjects/Keywords: Value-at-Risk; ARCH; GARCH; GJR-GARCH; Exchange rates; Conditional Variance; Volatility Forecasting

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APA (6th Edition):

Enocksson, D. (2012). Evaluating VaR with the ARCH/GARCH Family. (Thesis). Uppsala University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-168283

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Enocksson, David. “Evaluating VaR with the ARCH/GARCH Family.” 2012. Thesis, Uppsala University. Accessed December 14, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-168283.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Enocksson, David. “Evaluating VaR with the ARCH/GARCH Family.” 2012. Web. 14 Dec 2019.

Vancouver:

Enocksson D. Evaluating VaR with the ARCH/GARCH Family. [Internet] [Thesis]. Uppsala University; 2012. [cited 2019 Dec 14]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-168283.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Enocksson D. Evaluating VaR with the ARCH/GARCH Family. [Thesis]. Uppsala University; 2012. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-168283

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Uppsala University

5. Boman, Victor. A comparison of multivariate GARCH models with respect to Value at Risk.

Degree: Statistics, 2019, Uppsala University

  Since the introduction univariate GARCH models number of available models have grown rapidly and has been extended to the multivariate area. This paper compares… (more)

Subjects/Keywords: multivariate GARCH; Value at Risk; forecasting; conditional correlation; Probability Theory and Statistics; Sannolikhetsteori och statistik

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APA (6th Edition):

Boman, V. (2019). A comparison of multivariate GARCH models with respect to Value at Risk. (Thesis). Uppsala University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-385521

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Boman, Victor. “A comparison of multivariate GARCH models with respect to Value at Risk.” 2019. Thesis, Uppsala University. Accessed December 14, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-385521.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Boman, Victor. “A comparison of multivariate GARCH models with respect to Value at Risk.” 2019. Web. 14 Dec 2019.

Vancouver:

Boman V. A comparison of multivariate GARCH models with respect to Value at Risk. [Internet] [Thesis]. Uppsala University; 2019. [cited 2019 Dec 14]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-385521.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Boman V. A comparison of multivariate GARCH models with respect to Value at Risk. [Thesis]. Uppsala University; 2019. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-385521

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Clemson University

6. Rechard, Kyle Lance. Essays on Monetary Policy and Bitcoin Financial Economics.

Degree: PhD, Economics, 2019, Clemson University

  This dissertation includes three chapters. The first chapter investigates the impact of the Federal Reserve’s balance sheet normalization using a Bayesian vector autoregression (BVAR)… (more)

Subjects/Keywords: Bayesian SVAR; Bitcoin realized volatility; Conditional Forecasting; Monetary Policy Regimes; Taylor Rule; Unconventional Monetary Policy

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APA (6th Edition):

Rechard, K. L. (2019). Essays on Monetary Policy and Bitcoin Financial Economics. (Doctoral Dissertation). Clemson University. Retrieved from https://tigerprints.clemson.edu/all_dissertations/2367

Chicago Manual of Style (16th Edition):

Rechard, Kyle Lance. “Essays on Monetary Policy and Bitcoin Financial Economics.” 2019. Doctoral Dissertation, Clemson University. Accessed December 14, 2019. https://tigerprints.clemson.edu/all_dissertations/2367.

MLA Handbook (7th Edition):

Rechard, Kyle Lance. “Essays on Monetary Policy and Bitcoin Financial Economics.” 2019. Web. 14 Dec 2019.

Vancouver:

Rechard KL. Essays on Monetary Policy and Bitcoin Financial Economics. [Internet] [Doctoral dissertation]. Clemson University; 2019. [cited 2019 Dec 14]. Available from: https://tigerprints.clemson.edu/all_dissertations/2367.

Council of Science Editors:

Rechard KL. Essays on Monetary Policy and Bitcoin Financial Economics. [Doctoral Dissertation]. Clemson University; 2019. Available from: https://tigerprints.clemson.edu/all_dissertations/2367


University of Oxford

7. Arora, Siddharth. Time series forecasting with applications in macroeconomics and energy.

Degree: PhD, 2013, University of Oxford

 The aim of this study is to develop novel forecasting methodologies. The applications of our proposed models lie in two different areas: macroeconomics and energy.… (more)

Subjects/Keywords: Forecasting; Nonlinear and nonparametric methodologies; Time series analysis; Energy modelling; Short-term load forecasting; Rule-based forecasting; Conditional kernel density estimation; Probabilistic modelling

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Arora, S. (2013). Time series forecasting with applications in macroeconomics and energy. (Doctoral Dissertation). University of Oxford. Retrieved from http://ora.ox.ac.uk/objects/uuid:c763b735-e4fa-4466-9c1f-c3f6daf04a67 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.748639

Chicago Manual of Style (16th Edition):

Arora, Siddharth. “Time series forecasting with applications in macroeconomics and energy.” 2013. Doctoral Dissertation, University of Oxford. Accessed December 14, 2019. http://ora.ox.ac.uk/objects/uuid:c763b735-e4fa-4466-9c1f-c3f6daf04a67 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.748639.

MLA Handbook (7th Edition):

Arora, Siddharth. “Time series forecasting with applications in macroeconomics and energy.” 2013. Web. 14 Dec 2019.

Vancouver:

Arora S. Time series forecasting with applications in macroeconomics and energy. [Internet] [Doctoral dissertation]. University of Oxford; 2013. [cited 2019 Dec 14]. Available from: http://ora.ox.ac.uk/objects/uuid:c763b735-e4fa-4466-9c1f-c3f6daf04a67 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.748639.

Council of Science Editors:

Arora S. Time series forecasting with applications in macroeconomics and energy. [Doctoral Dissertation]. University of Oxford; 2013. Available from: http://ora.ox.ac.uk/objects/uuid:c763b735-e4fa-4466-9c1f-c3f6daf04a67 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.748639


University of Western Australia

8. Hakim, Abdul. Modelling the interactions across international stock, bond and foreign exchange markets.

Degree: PhD, 2009, University of Western Australia

[Truncated abstract] Given the theoretical and historical evidence that support the benefit of investing internationally. there is Iittle knowledge available of proper international portfolio construction… (more)

Subjects/Keywords: Portfolio management; Stock price forecasting; Risk management; Volatility spillover; Value at Risk forecast; Dynamic conditional correlation forecast; GARCH; Emerging stock bond market

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APA (6th Edition):

Hakim, A. (2009). Modelling the interactions across international stock, bond and foreign exchange markets. (Doctoral Dissertation). University of Western Australia. Retrieved from http://repository.uwa.edu.au:80/R/?func=dbin-jump-full&object_id=4249&local_base=GEN01-INS01

Chicago Manual of Style (16th Edition):

Hakim, Abdul. “Modelling the interactions across international stock, bond and foreign exchange markets.” 2009. Doctoral Dissertation, University of Western Australia. Accessed December 14, 2019. http://repository.uwa.edu.au:80/R/?func=dbin-jump-full&object_id=4249&local_base=GEN01-INS01.

MLA Handbook (7th Edition):

Hakim, Abdul. “Modelling the interactions across international stock, bond and foreign exchange markets.” 2009. Web. 14 Dec 2019.

Vancouver:

Hakim A. Modelling the interactions across international stock, bond and foreign exchange markets. [Internet] [Doctoral dissertation]. University of Western Australia; 2009. [cited 2019 Dec 14]. Available from: http://repository.uwa.edu.au:80/R/?func=dbin-jump-full&object_id=4249&local_base=GEN01-INS01.

Council of Science Editors:

Hakim A. Modelling the interactions across international stock, bond and foreign exchange markets. [Doctoral Dissertation]. University of Western Australia; 2009. Available from: http://repository.uwa.edu.au:80/R/?func=dbin-jump-full&object_id=4249&local_base=GEN01-INS01


University of Newcastle

9. Qin, Juan. A high-resolution hierarchical model for space-time rainfall.

Degree: PhD, 2011, University of Newcastle

Research Doctorate - Doctor of Philosophy (PhD)

The hydrologic response of urban catchments is sensitive to small scale space-time rainfall variations. A stochastic space-time rainfall… (more)

Subjects/Keywords: stochastic space-time rainfall; high-resolution; hierarchical framework; conditional simulation; latent Gaussian random field; Toeplitz block circulant technique; generalized method-of-moments approach; parametric bootstrap; short-term forecasting

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APA (6th Edition):

Qin, J. (2011). A high-resolution hierarchical model for space-time rainfall. (Doctoral Dissertation). University of Newcastle. Retrieved from http://hdl.handle.net/1959.13/808076

Chicago Manual of Style (16th Edition):

Qin, Juan. “A high-resolution hierarchical model for space-time rainfall.” 2011. Doctoral Dissertation, University of Newcastle. Accessed December 14, 2019. http://hdl.handle.net/1959.13/808076.

MLA Handbook (7th Edition):

Qin, Juan. “A high-resolution hierarchical model for space-time rainfall.” 2011. Web. 14 Dec 2019.

Vancouver:

Qin J. A high-resolution hierarchical model for space-time rainfall. [Internet] [Doctoral dissertation]. University of Newcastle; 2011. [cited 2019 Dec 14]. Available from: http://hdl.handle.net/1959.13/808076.

Council of Science Editors:

Qin J. A high-resolution hierarchical model for space-time rainfall. [Doctoral Dissertation]. University of Newcastle; 2011. Available from: http://hdl.handle.net/1959.13/808076


Uppsala University

10. Andersson-Säll, Tim. A STUDY ON THE DCC-GARCH MODEL’S FORECASTING ABILITY WITH VALUE-AT-RISK APPLICATIONS ON THE SCANDINAVIAN FOREIGN EXCHANGE MARKET.

Degree: Statistics, 2019, Uppsala University

  This thesis has treated the subject of DCC-GARCH model’s forecasting ability and Value-at- Risk applications on the Scandinavian foreign exchange market. The estimated models… (more)

Subjects/Keywords: Multivariate GARCH; Conditional Correlations; Forecasting; Time-varying covariance matrices; Exchange rate returns; Variance-Covariance matrix; Probability Theory and Statistics; Sannolikhetsteori och statistik

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APA (6th Edition):

Andersson-Säll, T. (2019). A STUDY ON THE DCC-GARCH MODEL’S FORECASTING ABILITY WITH VALUE-AT-RISK APPLICATIONS ON THE SCANDINAVIAN FOREIGN EXCHANGE MARKET. (Thesis). Uppsala University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-375201

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Andersson-Säll, Tim. “A STUDY ON THE DCC-GARCH MODEL’S FORECASTING ABILITY WITH VALUE-AT-RISK APPLICATIONS ON THE SCANDINAVIAN FOREIGN EXCHANGE MARKET.” 2019. Thesis, Uppsala University. Accessed December 14, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-375201.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Andersson-Säll, Tim. “A STUDY ON THE DCC-GARCH MODEL’S FORECASTING ABILITY WITH VALUE-AT-RISK APPLICATIONS ON THE SCANDINAVIAN FOREIGN EXCHANGE MARKET.” 2019. Web. 14 Dec 2019.

Vancouver:

Andersson-Säll T. A STUDY ON THE DCC-GARCH MODEL’S FORECASTING ABILITY WITH VALUE-AT-RISK APPLICATIONS ON THE SCANDINAVIAN FOREIGN EXCHANGE MARKET. [Internet] [Thesis]. Uppsala University; 2019. [cited 2019 Dec 14]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-375201.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Andersson-Säll T. A STUDY ON THE DCC-GARCH MODEL’S FORECASTING ABILITY WITH VALUE-AT-RISK APPLICATIONS ON THE SCANDINAVIAN FOREIGN EXCHANGE MARKET. [Thesis]. Uppsala University; 2019. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-375201

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Pontifical Catholic University of Rio de Janeiro

11. DAIANE MARCOLINO DE MATTOS. [en] CORE INFLATION ESTIMATION VIA SCORE DRIVEN MODELS.

Degree: 2018, Pontifical Catholic University of Rio de Janeiro

[pt] O objetivo da dissertação é apresentar uma nova medida de núcleo de inflação para o Brasil com o intuito de verificar a tendência atual… (more)

Subjects/Keywords: [pt] PREVISAO; [en] FORECASTING; [pt] NUCLEO DA INFLACAO; [en] CORE INFLATION; [pt] TENDENCIA DA INFLACAO; [en] TREND INFLATION; [pt] DYNAMIC CONDITIONAL SCORE MODELS; [en] DYNAMIC CONDITIONAL SCORE MODELS; [pt] GENERALIZED AUTOREGRESSIVE SCORE MODELS; [en] GENERALIZED AUTOREGRESSIVE SCORE MODELS

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APA (6th Edition):

MATTOS, D. M. D. (2018). [en] CORE INFLATION ESTIMATION VIA SCORE DRIVEN MODELS. (Thesis). Pontifical Catholic University of Rio de Janeiro. Retrieved from http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=35773

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

MATTOS, DAIANE MARCOLINO DE. “[en] CORE INFLATION ESTIMATION VIA SCORE DRIVEN MODELS.” 2018. Thesis, Pontifical Catholic University of Rio de Janeiro. Accessed December 14, 2019. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=35773.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

MATTOS, DAIANE MARCOLINO DE. “[en] CORE INFLATION ESTIMATION VIA SCORE DRIVEN MODELS.” 2018. Web. 14 Dec 2019.

Vancouver:

MATTOS DMD. [en] CORE INFLATION ESTIMATION VIA SCORE DRIVEN MODELS. [Internet] [Thesis]. Pontifical Catholic University of Rio de Janeiro; 2018. [cited 2019 Dec 14]. Available from: http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=35773.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

MATTOS DMD. [en] CORE INFLATION ESTIMATION VIA SCORE DRIVEN MODELS. [Thesis]. Pontifical Catholic University of Rio de Janeiro; 2018. Available from: http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=35773

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Pontifical Catholic University of Rio de Janeiro

12. SORAIDA AGUILAR VARGAS. [en] FORECASTING PROBABILISTIC DENSITY DISTRIBUTION OF WIND POWER GENERATION USING NON-PARAMETRIC TECHNIQUES.

Degree: 2016, Pontifical Catholic University of Rio de Janeiro

[pt] Como resultado do processo de contração de novos Leilões de energia eólica e a entrada em operação de novos parques eólicos ao sistema elétrico… (more)

Subjects/Keywords: [pt] PREVISAO; [en] FORECASTING; [pt] ENERGIA EOLICA; [en] WIND ENERGY; [pt] VELOCIDADE DE VENTO; [pt] PREVISAO PROBABILISTICA; [en] PROBABILISTIC FORECASTING; [pt] ANALISE ESPECTRAL SINGULAR; [en] SINGULAR SPECTRUM ANALYSIS; [pt] ESTIMACAO CONDICIONAL DE NUCLEO; [en] CONDITIONAL KERNEL ESTIMATION

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APA (6th Edition):

VARGAS, S. A. (2016). [en] FORECASTING PROBABILISTIC DENSITY DISTRIBUTION OF WIND POWER GENERATION USING NON-PARAMETRIC TECHNIQUES. (Thesis). Pontifical Catholic University of Rio de Janeiro. Retrieved from http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=26821

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

VARGAS, SORAIDA AGUILAR. “[en] FORECASTING PROBABILISTIC DENSITY DISTRIBUTION OF WIND POWER GENERATION USING NON-PARAMETRIC TECHNIQUES.” 2016. Thesis, Pontifical Catholic University of Rio de Janeiro. Accessed December 14, 2019. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=26821.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

VARGAS, SORAIDA AGUILAR. “[en] FORECASTING PROBABILISTIC DENSITY DISTRIBUTION OF WIND POWER GENERATION USING NON-PARAMETRIC TECHNIQUES.” 2016. Web. 14 Dec 2019.

Vancouver:

VARGAS SA. [en] FORECASTING PROBABILISTIC DENSITY DISTRIBUTION OF WIND POWER GENERATION USING NON-PARAMETRIC TECHNIQUES. [Internet] [Thesis]. Pontifical Catholic University of Rio de Janeiro; 2016. [cited 2019 Dec 14]. Available from: http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=26821.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

VARGAS SA. [en] FORECASTING PROBABILISTIC DENSITY DISTRIBUTION OF WIND POWER GENERATION USING NON-PARAMETRIC TECHNIQUES. [Thesis]. Pontifical Catholic University of Rio de Janeiro; 2016. Available from: http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=26821

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of California – San Diego

13. Chalak, Karim Marwan. Essays on the definition, identification, and estimation of causal effects.

Degree: 2007, University of California – San Diego

 This dissertation studies the definition, identification, and estimation of causal effects within the settable system framework of White and Chalak. Chapter 1 provides definitions of… (more)

Subjects/Keywords: Econometric models Economic aspects Causation; Mathematical models Economic forecasting; Econometric models Conditional expectations (Mathematics); Estimation theory

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Chalak, K. M. (2007). Essays on the definition, identification, and estimation of causal effects. (Thesis). University of California – San Diego. Retrieved from http://www.escholarship.org/uc/item/66t7m0cd

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Chalak, Karim Marwan. “Essays on the definition, identification, and estimation of causal effects.” 2007. Thesis, University of California – San Diego. Accessed December 14, 2019. http://www.escholarship.org/uc/item/66t7m0cd.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Chalak, Karim Marwan. “Essays on the definition, identification, and estimation of causal effects.” 2007. Web. 14 Dec 2019.

Vancouver:

Chalak KM. Essays on the definition, identification, and estimation of causal effects. [Internet] [Thesis]. University of California – San Diego; 2007. [cited 2019 Dec 14]. Available from: http://www.escholarship.org/uc/item/66t7m0cd.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Chalak KM. Essays on the definition, identification, and estimation of causal effects. [Thesis]. University of California – San Diego; 2007. Available from: http://www.escholarship.org/uc/item/66t7m0cd

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Università Cattolica del Sacro Cuore

14. DELLA NOCE, MATTEO. Un modello VAR-GARCH multivariato per il mercato elettrico italiano.

Degree: 2011, Università Cattolica del Sacro Cuore

E’ stato estesamente appurato che i mercati dell'elettricità mostrano mean-reversion e elevata volatilità dei prezzi. Questo lavoro utilizza un modello VAR-MGARCH al fine di cogliere… (more)

Subjects/Keywords: SECS-S/03: STATISTICA ECONOMICA; SECS-P/05: ECONOMETRIA; SECS-P/02: POLITICA ECONOMICA; Electricity spot prices, Forecasting, Multivariate GARCH models, Conditional volatility, Impulse response functions, Integration of energy markets, Prezzi elettrici spot, Previsioni, Modelli GARCH multivariati, Volatilità condizionata, Integrazione dei mercati dell'energia

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APA (6th Edition):

DELLA NOCE, M. (2011). Un modello VAR-GARCH multivariato per il mercato elettrico italiano. (Doctoral Dissertation). Università Cattolica del Sacro Cuore. Retrieved from http://hdl.handle.net/10280/1108

Chicago Manual of Style (16th Edition):

DELLA NOCE, MATTEO. “Un modello VAR-GARCH multivariato per il mercato elettrico italiano.” 2011. Doctoral Dissertation, Università Cattolica del Sacro Cuore. Accessed December 14, 2019. http://hdl.handle.net/10280/1108.

MLA Handbook (7th Edition):

DELLA NOCE, MATTEO. “Un modello VAR-GARCH multivariato per il mercato elettrico italiano.” 2011. Web. 14 Dec 2019.

Vancouver:

DELLA NOCE M. Un modello VAR-GARCH multivariato per il mercato elettrico italiano. [Internet] [Doctoral dissertation]. Università Cattolica del Sacro Cuore; 2011. [cited 2019 Dec 14]. Available from: http://hdl.handle.net/10280/1108.

Council of Science Editors:

DELLA NOCE M. Un modello VAR-GARCH multivariato per il mercato elettrico italiano. [Doctoral Dissertation]. Università Cattolica del Sacro Cuore; 2011. Available from: http://hdl.handle.net/10280/1108

15. Ezpeleta, Emilio Vega. Modeling volatility for the Swedish stock market.

Degree: Statistics, 2016, Uppsala University

  This thesis will investigate if adding an exogenous variable (implied volatility) to the variance equation will increase the performance for the GARCH(1,1) and EGARCH(1,1)… (more)

Subjects/Keywords: GARCH; Conditional variance; Realized variance; Implied volatility; Forecasting volatility; Heteroskedasticity; Time series

…are weak stationary. 3.2 Models This thesis will model log returns conditional variance… …The conditional mean equation is then rt = E(rt |Ωt−1 ) + t , (3)… …x29;, t = zt σt (5) where zt is the innovation term. The conditional variance… …conditional variance affect the current conditional variance and the ARCH coefficients measure how… …squared residual (previous variance) affect the current conditional variance. If p=0… 

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Ezpeleta, E. V. (2016). Modeling volatility for the Swedish stock market. (Thesis). Uppsala University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-275065

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Ezpeleta, Emilio Vega. “Modeling volatility for the Swedish stock market.” 2016. Thesis, Uppsala University. Accessed December 14, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-275065.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Ezpeleta, Emilio Vega. “Modeling volatility for the Swedish stock market.” 2016. Web. 14 Dec 2019.

Vancouver:

Ezpeleta EV. Modeling volatility for the Swedish stock market. [Internet] [Thesis]. Uppsala University; 2016. [cited 2019 Dec 14]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-275065.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Ezpeleta EV. Modeling volatility for the Swedish stock market. [Thesis]. Uppsala University; 2016. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-275065

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

16. Wennström, Amadeus. Volatility Forecasting Performance: Evaluation of GARCH type volatility models on Nordic equity indices.

Degree: Mathematical Statistics, 2014, KTH

  This thesis examines the volatility forecasting performance of six commonly used forecasting models; the simple moving average, the exponentially weighted moving average, the ARCH… (more)

Subjects/Keywords: Conditional Variance; ARCH; GARCH; EGARCH; GJR-GARCH; volatility forecasting; Parkinson’s estimator

…9 Forecasting models… …10 3.2 Conditional mean… …11 3.3 Conditional variance… …29 6.1 Impact of error distribution and conditional mean… …29 6.2 Conditional variance models… 

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Wennström, A. (2014). Volatility Forecasting Performance: Evaluation of GARCH type volatility models on Nordic equity indices. (Thesis). KTH. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-146656

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Wennström, Amadeus. “Volatility Forecasting Performance: Evaluation of GARCH type volatility models on Nordic equity indices.” 2014. Thesis, KTH. Accessed December 14, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-146656.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Wennström, Amadeus. “Volatility Forecasting Performance: Evaluation of GARCH type volatility models on Nordic equity indices.” 2014. Web. 14 Dec 2019.

Vancouver:

Wennström A. Volatility Forecasting Performance: Evaluation of GARCH type volatility models on Nordic equity indices. [Internet] [Thesis]. KTH; 2014. [cited 2019 Dec 14]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-146656.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Wennström A. Volatility Forecasting Performance: Evaluation of GARCH type volatility models on Nordic equity indices. [Thesis]. KTH; 2014. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-146656

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

17. Almeida e Santos Nogueira, Rui Jorge. Conditional Density Models Integrating Fuzzy and Probabilistic Representations of Uncertainty.

Degree: 2014, Erasmus Research Institute of Management

 markdownabstract__Abstract__ Conditional density estimation is an important problem in a variety of areas such as system identification, machine learning, artificial intelligence, empirical economics, macroeconomic analysis,… (more)

Subjects/Keywords: Probabilistic Fuzzy System; Fuzzy Set; Conditional Density Approximation; Additive Reasoning; Fuzzy Partitioning; Fuzzy GARCH models; Volatility forecasting; Time varying volatility; Financial forecasting; Semiparametric and Nonparametric Methods; Time-Series Models

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Almeida e Santos Nogueira, R. J. (2014). Conditional Density Models Integrating Fuzzy and Probabilistic Representations of Uncertainty. (Doctoral Dissertation). Erasmus Research Institute of Management. Retrieved from http://hdl.handle.net/1765/51560

Chicago Manual of Style (16th Edition):

Almeida e Santos Nogueira, Rui Jorge. “Conditional Density Models Integrating Fuzzy and Probabilistic Representations of Uncertainty.” 2014. Doctoral Dissertation, Erasmus Research Institute of Management. Accessed December 14, 2019. http://hdl.handle.net/1765/51560.

MLA Handbook (7th Edition):

Almeida e Santos Nogueira, Rui Jorge. “Conditional Density Models Integrating Fuzzy and Probabilistic Representations of Uncertainty.” 2014. Web. 14 Dec 2019.

Vancouver:

Almeida e Santos Nogueira RJ. Conditional Density Models Integrating Fuzzy and Probabilistic Representations of Uncertainty. [Internet] [Doctoral dissertation]. Erasmus Research Institute of Management; 2014. [cited 2019 Dec 14]. Available from: http://hdl.handle.net/1765/51560.

Council of Science Editors:

Almeida e Santos Nogueira RJ. Conditional Density Models Integrating Fuzzy and Probabilistic Representations of Uncertainty. [Doctoral Dissertation]. Erasmus Research Institute of Management; 2014. Available from: http://hdl.handle.net/1765/51560


University of Canterbury

18. Scharth, M. Asymmetric Realized Volatility Risk.

Degree: Department of Economics and Finance, 2014, University of Canterbury

 In this paper we document that realized variation measures constructed from highfrequency returns reveal a large degree of volatility risk in stock and index returns,… (more)

Subjects/Keywords: realized volatility; volatility of volatility; volatility risk; value-at-risk; forecasting; conditional heteroskedasticity; Field of Research::15 - Commerce, Management, Tourism and Services::1502 - Banking, Finance and Investment::150202 - Financial Econometrics; Field of Research::15 - Commerce, Management, Tourism and Services::1502 - Banking, Finance and Investment::150205 - Investment and Risk Management

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Scharth, M. (2014). Asymmetric Realized Volatility Risk. (Thesis). University of Canterbury. Retrieved from http://hdl.handle.net/10092/10072

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Scharth, M. “Asymmetric Realized Volatility Risk.” 2014. Thesis, University of Canterbury. Accessed December 14, 2019. http://hdl.handle.net/10092/10072.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Scharth, M. “Asymmetric Realized Volatility Risk.” 2014. Web. 14 Dec 2019.

Vancouver:

Scharth M. Asymmetric Realized Volatility Risk. [Internet] [Thesis]. University of Canterbury; 2014. [cited 2019 Dec 14]. Available from: http://hdl.handle.net/10092/10072.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Scharth M. Asymmetric Realized Volatility Risk. [Thesis]. University of Canterbury; 2014. Available from: http://hdl.handle.net/10092/10072

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

19. Lorentz, Pär. A Modified Sharpe Ratio Based Portfolio Optimization.

Degree: Mathematical Statistics, 2012, KTH

  The performance of an optimal-weighted portfolio strategy is evaluated when transaction costs are penalized compared to an equal-weighted portfolio strategy. The optimal allocation weights… (more)

Subjects/Keywords: Modified Sharpe Ratio; Portfolio Optimization; Transaction Cost; Conditional Forecasting; Performance Analysis; Transition Probability; Stochastic Count Process; Value-at-Risk

…3.1.1 Stochastic Processes and Transition Probability 3.1.2 Conditional Forecasting… …3.1.2 Conditional Forecasting As the probability distribution of the stochastic count… …conditional expectation estimator. This is implemented in the optimization as a leverage on the… …conditional expectation theory. 13 3.1.1 Stochastic Processes and Transition Probability… …it holds that the conditional expectation of Y given that X = x is E[Y |X = x]… 

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Lorentz, P. (2012). A Modified Sharpe Ratio Based Portfolio Optimization. (Thesis). KTH. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-103275

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Lorentz, Pär. “A Modified Sharpe Ratio Based Portfolio Optimization.” 2012. Thesis, KTH. Accessed December 14, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-103275.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Lorentz, Pär. “A Modified Sharpe Ratio Based Portfolio Optimization.” 2012. Web. 14 Dec 2019.

Vancouver:

Lorentz P. A Modified Sharpe Ratio Based Portfolio Optimization. [Internet] [Thesis]. KTH; 2012. [cited 2019 Dec 14]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-103275.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Lorentz P. A Modified Sharpe Ratio Based Portfolio Optimization. [Thesis]. KTH; 2012. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-103275

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

20. Skintzi, Vasiliki. Dynamic correlation models.

Degree: 2004, Athens University Economics and Business (AUEB); Οικονομικό Πανεπιστήμιο Αθηνών

 Correlation is one of the most important parameters that needs to be estimated in the context of Modern Portfolio Theory. Accurate estimates of correlation are… (more)

Subjects/Keywords: Συσχέτιση; Διαχείριση κινδύνων; Διεθνείς χρηματαγορές; Προβλέψεις; Υπό συνθήκη συσχέτιση; Τεκμαρτή συσχέτιση; Δικαιώματα προαίρεσης; Αγορές ομολόγων; Correlation; Risk management; International financial markets; Forecasting; Conditional correlation; Implied correlation; Options; Bond markets

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Skintzi, V. (2004). Dynamic correlation models. (Thesis). Athens University Economics and Business (AUEB); Οικονομικό Πανεπιστήμιο Αθηνών. Retrieved from http://hdl.handle.net/10442/hedi/17695

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Skintzi, Vasiliki. “Dynamic correlation models.” 2004. Thesis, Athens University Economics and Business (AUEB); Οικονομικό Πανεπιστήμιο Αθηνών. Accessed December 14, 2019. http://hdl.handle.net/10442/hedi/17695.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Skintzi, Vasiliki. “Dynamic correlation models.” 2004. Web. 14 Dec 2019.

Vancouver:

Skintzi V. Dynamic correlation models. [Internet] [Thesis]. Athens University Economics and Business (AUEB); Οικονομικό Πανεπιστήμιο Αθηνών; 2004. [cited 2019 Dec 14]. Available from: http://hdl.handle.net/10442/hedi/17695.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Skintzi V. Dynamic correlation models. [Thesis]. Athens University Economics and Business (AUEB); Οικονομικό Πανεπιστήμιο Αθηνών; 2004. Available from: http://hdl.handle.net/10442/hedi/17695

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

.