Essays about: "Julian Marvin Ulmer"

Found 2 essays containing the words Julian Marvin Ulmer.

1. 1. Volatility Timing using Machine Learning - An Application to a Signal Based Portfolio

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Filippa Lövgren; Julian Marvin Ulmer; [2022]
   Keywords : Machine Learning; Support Vector Machines; VIX; Volatility Timing; Portfolio Construction; Business and Economics;

   Abstract : Recent events such as the covid-19 pandemic and the Russian-Ukrainian war have led to a tremendous increase in volatility, making financial markets riskier for investors. To see whether investors can counteract or profit from such risk, we develop a volatility timed trading strategy. READ MORE

3. 2. Volatility and Risk – FIGARCH Modelling of Cryptocurrencies

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Julian Marvin Ulmer; Langkun Chen; [2021]
   Keywords : Cryptocurrencies; Conditional volatility; FIGARCH model; Monetary policy; Stressed expected shortfall; Business and Economics;

   Abstract : .... READ MORE