Vis enkel innførsel

dc.contributor.authorBjerkseth, Øyvind Sten
dc.date.accessioned2006-09-15T08:16:05Z
dc.date.available2006-09-15T08:16:05Z
dc.date.issued2006
dc.identifier.urihttp://hdl.handle.net/11250/167613
dc.description.abstractThis thesis uses the Iterative Cumulative Sum of Squares (ICSS) algorithm (Inclán and Tiao, 1994) to search for structural breakpoints in volatility in the Norwegian stock market. I analyze data both with the original method, and with a revised version by Bacmann and Dubois (2001). I also analyze the stock markets in the other Scandinavian countries, a European index, the US stock market, the oil market and exchange rates. I then state tentative explanations for the breakpoints. I present a problem with the algorithm; the number of, and dating of breakpoints in a period is dependent on the choice of time period. I also show that the algorithm has problems discovering breaks occurring in the beginning or end of the time series. Through simulations, I show that the algorithm almost always fails to discover the correct number of breakpoints when there are several breaks quite close in time.en
dc.format.extent322973 bytes
dc.format.mimetypeapplication/pdf
dc.language.isoengen
dc.subjectfinancial economicsen
dc.titleVolatility on Oslo Stock Exchange : structural breakpoints in volatility using the ICSS algorithmen
dc.typeMaster thesisen


Tilhørende fil(er)

Thumbnail

Denne innførselen finnes i følgende samling(er)

Vis enkel innførsel