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Browsing by Subject "Strukturbrüche"

Now showing items 1-7 of 7

Contributions to change-point analysis under long-range dependencies

Willert, Juliane (Hannover : Gottfried Wilhelm Leibniz Universität Hannover, 2012)

[no abstract]
Essays on empirical finance in times of crises : fractional integration, structural breaks, and explosiveness

Wegener, Christoph (Hannover : Gottfried Wilhelm Leibniz Universität Hannover, 2016)

[no abstract]
Essays on fractional cointegration and spurious long memory

Afzal, Alia (Hannover : Institutionelles Repositorium der Leibniz Universität Hannover, 2019)

This thesis contains four essays on fractional cointegration and spurious long memory following the introduction and related literature in the first chapter. Chapter 2 provides an analysis of fractional integration and ...
Essays on persistence and volatility in financial time series

Hirsch, Tristan (Hannover : Institutionelles Repositorium der Leibniz Universität Hannover, 2023)

This thesis contains four essays on persistence change tests and non-stationarity tests. Persistence change tests are analysed under non-standard conditions and a new family of tests to detect changes in persistence and ...
Essays on structural change tests under long memory

Wenger, Kai Rouven (Hannover : Institutionelles Repositorium der Leibniz Universität Hannover, 2020)

This thesis contains six essays on tests for structural change under long memory with applications to economic time series. Chapter 1 introduces structural change tests and the concept of long memory. The main problem ...
Essays on testing for nonlinearity in time series : issues in nonlinear cointegration, structural breaks and changes in persistence

Grote, Claudia (Hannover : Institutionelles Repositorium der Leibniz Universität Hannover, 2020)

Besides obvious nonlinear relations like a nonlinear error correction model are nonlinearities in time series closely related to structural breaks and changes in persistence. Since both kinds of changes can induce ...
Essays on time series analysis and statistical machine learning

Meier, Johanna (Hannover : Institutionelles Repositorium der Leibniz Universität Hannover, 2023)

This thesis encompasses three research articles contributing to the fields of time series analysis and statistical machine learning. Firstly, we develop a peaks-over- threshold approach, which captures both short- and ...

Now showing items 1-7 of 7

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Browsing by Subject "Strukturbrüche"

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