Thesiss

The analysis of time series has long been the subject of interest in different fields. For decades time series were analysed with linear models, which have many advantages. Nevertheless, an issue which has been raised is whether there exist other models that can explain and fore…

Despite the move to floating exchange rates after the breakdown of the Bretton Woods system in 1973, Foreign Exchange Intervention (FXI) remains a commonly used tool for influencing exchange rates in most developed economies as well as emerging markets. The objective of this stu…

Stock market volatility has been an important subject in the finance literature for which now an enormous body of research exists. Volatility modelling and forecasting have been in the epicentre of this line of research and although more than a few models have been proposed and …