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Title: Analysis of stochastic volatility sequences generated by product autoregressive models
Researcher: Shiji, K
Guide(s): Balakrishna, N
Keywords: Conditional Least Squares
Gumbel Extreme Value Autoregressive
Maximum Likelihood
non-Gaussian volatility sequences
Quasi Maximum Likelihood
Stochastic Processes
time series models
Upload Date: 1-Oct-2014
University: Cochin University of Science and Technology
Completed Date: 23/03/2014
Abstract: One of the objectives of the present study is to explore the possibility of employing newlinesome non Gaussian distributions to model the volatility sequences and then study newlinethe behaviour of the resulting return series This lead us to work on the related newlineproblem of statistical inference which is the main contribution of the thesis newline
Pagination: xxi, 219p.
Appears in Departments:Department of Statistics

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02_certificate.pdf53.78 kBAdobe PDFView/Open
03_declaration.pdf52.1 kBAdobe PDFView/Open
04_acknowledgements.pdf53.88 kBAdobe PDFView/Open
05_dedication.pdf15.48 kBAdobe PDFView/Open
06_contents.pdf88.43 kBAdobe PDFView/Open
07_list of tables.pdf104.03 kBAdobe PDFView/Open
08_list of figures.pdf126.38 kBAdobe PDFView/Open
09_chapter 1.pdf297.23 kBAdobe PDFView/Open
10_chapter 2.pdf244.96 kBAdobe PDFView/Open
11_chapter 3.pdf419.89 kBAdobe PDFView/Open
12_chapter 4.pdf433.47 kBAdobe PDFView/Open
13_chapter 5.pdf337.46 kBAdobe PDFView/Open
14_chapter 6.pdf335.06 kBAdobe PDFView/Open
15_chapter 7.pdf77.45 kBAdobe PDFView/Open
17_list of published papers.pdf72.83 kBAdobe PDFView/Open
18_bibliography.pdf88.01 kBAdobe PDFView/Open

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