Kurt Brannas

University of Umea - Department of Economics

Professor

Umea University

Department of Economics

SE-90187 Umea

Sweden

SCHOLARLY PAPERS

18

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Top 25,447

in Total Papers Downloads

1,849

SSRN CITATIONS

5

CROSSREF CITATIONS

2

Scholarly Papers (18)

1.

Tourist Accommodation Effects of Festivals

Umea Economic Studies Working Paper No. 580
Number of pages: 12 Posted: 30 Jan 2002
Kurt Brannas and Jonas Nordstrom
University of Umea - Department of Economics and University of Umea - Department of Economics
Downloads 362 (82,430)

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Binomial, autoregression, estimation, demand analysis, festivals, rationed

2.

The Number of Occupied Hotel Rooms: A Time Series Model that Accounts for Constrained Capacity and Prices

Umea Economic Studies Working Paper No. 559
Number of pages: 14 Posted: 02 Jun 2001
Kurt Brannas and Jonas Nordstrom
University of Umea - Department of Economics and University of Umea - Department of Economics
Downloads 329 (91,871)
Citation 1

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Binomial, autoregression, estimation, demand analysis, rationed, price effect

3.

Asymmetries in Conditional Mean and Variance: Modelling Stock Returns by Asma-Asqgarch

Umea Economic Studies Working Paper No. 535
Number of pages: 21 Posted: 08 Nov 2000
Kurt Brannas and Jan G. De Gooijer
University of Umea - Department of Economics and University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 215 (143,009)
Citation 1

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Time series, finance, nonlinearity, estimation, testing, forecasting, NYSE

4.

A Bivariate Integer Valued Allocation Model for Guest Nights In Hotels and Cottages

Umea Economic Studies Working Paper No. 547
Number of pages: 23 Posted: 07 Mar 2001
Kurt Brannas and Jonas Nordstrom
University of Umea - Department of Economics and University of Umea - Department of Economics
Downloads 176 (171,968)
Citation 5

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Integer-valued time series, demand analysis, tourism, accomodation, hotel, cottage

5.

Extreme-Value Characteristics in Daily Time Series of Swedish Stock Returns

Umea Economic Studies Working Paper No. 597
Number of pages: 20 Posted: 08 Jan 2003
University of Umea - Department of Economics, Tillväxtanalys (Swedish Agency for Growth Policy Analysis) and Nasdaq Economic Research
Downloads 150 (197,080)

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Value-at-Risk, minimum/maximum return, crossing

6.

Estimation in a Duration Model for Evaluating Educational Programs

IZA Discussion Paper No. 103
Number of pages: 26 Posted: 03 Aug 2000
Kurt Brannas
University of Umea - Department of Economics
Downloads 142 (206,113)

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7.

Integer-Valued Moving Average Modelling of the Number of Transactions in Stocks

Umea Economic Studies Working Paper No. 637
Number of pages: 24 Posted: 07 May 2004
Kurt Brannas and Shahiduzzaman Quoreshi
University of Umea - Department of Economics and Tillväxtanalys (Swedish Agency for Growth Policy Analysis)
Downloads 129 (222,593)
Citation 5

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Count data, intra-day, high frequency, time series, estimation, finance

8.

Conditional Heteroskedasticity in Some Common Count Data Models for Financial Time Series Data

Umea Economic Studies Working Paper No. 592
Number of pages: 4 Posted: 06 Nov 2002
Kurt Brannas
University of Umea - Department of Economics
Downloads 118 (238,022)

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Conditional variance, time series, finance, traded stocks, Poisson

9.

Temporal Aggregation of the Returns of a Stock Index Series

Umea Economic Studies Working Paper No. 614
Number of pages: 8 Posted: 03 Oct 2003
Kurt Brannas
University of Umea - Department of Economics
Downloads 84 (298,769)

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Asymmetric moving average, QGARCH, estimation, kurtosis, Pearson IV, NYSE

10.

Discretized Time and Conditional Duration Modelling for Stock Transaction Data

Umea Economic Studies Working Paper No. 610
Number of pages: 28 Posted: 16 Jun 2003
Kurt Brannas and Ola Simonsen
University of Umea - Department of Economics and Nasdaq Economic Research
Downloads 65 (345,385)

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Grouped data, Maximum likelihood, EM-algorithm, Estimation, Finance, News

11.

Influence of News in Moscow and New York on Returns and Risks on Baltic State Stock Indices

Number of pages: 22 Posted: 04 Oct 2006
Kurt Brannas and Albina Soultanaeva
University of Umea - Department of Economics and University of Umea - Department of Economics
Downloads 57 (368,855)

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Estonia, Latvia, Lithuania, Time series, Estimation, Finance

12.

Effects of Explanatory Variables in Count Data Moving Average Models

Umeå Economic Studies Paper No. 679
Number of pages: 6 Posted: 13 Dec 2008 Last Revised: 19 Oct 2009
Kurt Brannas and Carl Lönnbark
University of Umea - Department of Economics and University of Umea
Downloads 22 (514,744)

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INMA model, Marginal effect, Intra-day, Financial data

13.

Simultaneity and Asymmetry of Returns and Volatilities in the Emerging Baltic State Stock Exchanges

Umea Economic Studies Paper No. 725
Posted: 18 Oct 2009
University of Umea - Department of Economics, University of Amsterdam - Department of Quantitative Economics (KE), University of Umea and University of Umea - Department of Economics

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Time series, nonlinear, multivariate, finance, value at risk, portfolio allocation

14.

Value at Risk and Expected Shortfall for Large Portfolios

Finance Research Letters, Vol. 8, 2011
Posted: 18 Oct 2009 Last Revised: 19 Mar 2012
Carl Lönnbark, Ulf E. Holmberg and Kurt Brannas
University of Umea, University of Umea - Department of Economics and University of Umea - Department of Economics

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Demand, Supply, Liquidity Risk, Limit Order Book, Bank, Sweden

15.

Conditional Skewness Modelling for Stock Returns

Applied Economics Letters, Vol. 10, pp. 725-728, 2003
Posted: 25 Nov 2003
Kurt Brannas and Niklas Nordman
University of Umea - Department of Economics and University of Umea

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Time series, nonlinearity, Pearson IV, log-generalized gamma, NYSE

16.

An Alternative Conditional Asymmetry Specification for Stock Returns

Applied Financial Economics, Vol. 13, pp. 537-541, 2003
Posted: 14 Aug 2003
Kurt Brannas and Niklas Nordman
University of Umea - Department of Economics and University of Umea

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Time Series, Finance, Nonlinearity, Skewness, Gamma, Estimation, NYSE

17.

Plants' Entry and Exit in Swedish Municipalities

Annals of Regional Science, Vol. 35, pp. 431-448, 2001
Posted: 16 Jan 2002
Kurt Brannas and Elisabet Berglund
University of Umea - Department of Economics and University of Umea - Department of Economics

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Industrial sector, Integer-Valued Autoregression, panel data, GMM estimation

18.

Testing Linearity Against Nonlinear Moving Average Models

Stockholm School of Economics WPS95-1/96
Posted: 21 Apr 1998
University of Umea - Department of Economics, University of Amsterdam - Department of Quantitative Economics (KE) and Stockholm School of Economics - Department of Economics

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