Philipp Christian Kless forsvarer sin ph.d.-afhandling ved Økonomisk Institut – Københavns Universitet

Økonomisk Institut > Kalender > Ph.D. forsvar > Philipp Christian Kles...

Philipp Christian Kless forsvarer sin ph.d.-afhandling ved Økonomisk Institut

Kandidat: Philipp Christian Kless

Titel

"New Bootstrap Methods for Financial and Economic Time Series".Det vil være muligt før forsvaret at rekvirere en kopi af afhandlingen ved henvendelse til Informationen (26.0.20), Økonomisk Institut.

Tid og sted

20. maj 2019 kl. 10:00, CSS, Øster Farimagsgade 5, 1353 København K, bygning 26, lokale 26.2.21. Af hensyn til kandidaten lukkes dørene præcis.

Bedømmelsesudvalg
Professor Heino Bohn Nielsen, Økonomisk Institut, Københavns Universitet, Danmark (formand)
Professor Esther Ruíz Ortega, Universidad Carlos III de Madrid, Spanien
Professor Giuseppe Cavaliere, University of Bologna, Italien

Abstract

The bootstrap is a promising simulation tool that can help to solve complicated statistical problems with no tractable solution. Specifically, the fundamental idea of the bootstrap is to use re-sampling methods to approximate otherwise unknown properties of an estimator.

This thesis investigates bootstrap methods for financial and economic time series to do forecasting. The results are presented in three self-contained parts which include theory, simulations, and empirics for the implemented bootstrap method.

The three parts are:


  1. Smoothed Bootstrap Forecasts for Autoregressive Conditionally Heteroscedastic
    Models
  2. Bootstrap Forecasts for the Poisson Autogressive Model
  3. Estimation Uncertainty in GARCH Option Prices