Search for essays about: "Mathematics and Statistics"

Showing result 1 - 5 of 104 essays containing the words Mathematics and Statistics.

2. 1. Threshold Detection in Autoregressive Non-linear Models

   University essay from Lunds universitet/Statistiska institutionen

   Author : Jacob Järås; Azadeh Mohammadipour Gishani; [2010]
   Keywords : Non-linear Time Series; Threshold Autoregressive Model; GARCH.; ARCH; Mathematics and Statistics;

   Abstract : In this paper we fit non-linear models. We build Threshold Autoregressive (TAR) and Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models and estimate the parameters associated to the models, e.g. the threshold for the TAR model. READ MORE

4. 2. Statistical analysis of experimental designs applied to biological assays

   University essay from Lunds universitet/Statistiska institutionen

   Author : Aldana Rosso; [2010]
   Keywords : analysis of variance; linear regression; bioassay; mixed models; biological assays; Mathematics and Statistics;

   Abstract : Bioassays are methods employed to estimate the effect of a given substance in living matter, and therefore they are frequently used in the pharmaceutical industry. The experimental design of bioassays has to take into account the intrinsic variability in the biological test units and other factors as operators, day variation, batch variation, etc. READ MORE

5. 3. Comparison of Multivariate GARCH Models with Application to Zero-Coupon Bond Volatility

   University essay from Lunds universitet/Statistiska institutionen

   Author : Wenjing Su; Yiyu Huang; [2010]
   Keywords : Mathematics and Statistics;

   Abstract : The purpose of this thesis is to investigate different formulations of multivariate GARCH models and to apply two of the popular ones – the BEKK- GARCH model and the DCC- GARCH model – in evaluating the volatility of a portfolio of zero-coupon bonds. Multivariate GARCH models are considered as one of the most useful tools for analyzing and forecasting the volatility of time series when volatility fluctuates over time. READ MORE

6. 4. The Fisher Equation, Belgium before and after Euro currency

   University essay from Lunds universitet/Statistiska institutionen

   Author : Ismail Shah; Muhammad Waleed; [2010]
   Keywords : Fisher equation; Unit root; cointegration; Mathematics and Statistics;

   Abstract : This thesis focuses on the econometric evaluation of Fisher hypothesis. According to Fisher hypothesis there exist a long run equilibrium relationship between nominal interest rate and inflation rate. We analyze the data for Belgium at the different time periods of 1992 to 2000, 2001 to 2009 and 1992 to 2009. READ MORE

7. 5. Investigation of GARCH Models for the Estimation Power and Normality

   University essay from Lunds universitet/Statistiska institutionen

   Author : Ka Wa Ho; Hassan Houmani; [2010]
   Keywords : Mathematics and Statistics;

   Abstract : The aims of the thesis are to investigate the estimation power and the normality of standardized residuals for Generalized autoregressive conditional heteroscedasticity models (GARCH). We facilitate the analysis by only dealing with GARCH(1, 1) models. READ MORE