Essays about: "Out-of-sample analysis"
Showing result 16 - 20 of 53 essays containing the words Out-of-sample analysis.
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16. Predicting Asset Prices with Machine Learning
University essay fromAbstract : This study examines whether machine learning techniques such as neural networks contain predictability when modeling asset prices and if they can improve on asset pricing prediction compared to traditional OLS-regressions. This is analyzed through measuring and comparing the out-of-sample R2 to find each models’ predictive power. READ MORE
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17. Emission Allowances in the European Union Emissions Trading System
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : The first part of the thesis analyses the short term behavior of daily emission allowance (EUA) log returns with a focus on volatility dynamics in the recent market environment. In this part, I present a historical overview of the European Union Emission Trading System (EU ETS), analyze the stylized facts of the time series, employ appropriate time series models, and assess model in-sample and out-of-sample performance. READ MORE
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18. ARIMA Modeling : Forecasting Indices on the Stockholm Stock Exchange
University essay from Karlstads universitet/Handelshögskolan (from 2013)Abstract : The predictability of the stock market has been discussed over a long period of time and is of great interest to anyone investing in the stock market. Some people argue that the stock market is impossible to predict, while others believe that the market is somewhat predictable. READ MORE
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19. ON THE PREDICTIVE PERFORMANCE OF THE STOCK RETURNS BY USING THE MARKOV-SWITCHING MODELS
University essay from Uppsala universitet/Statistiska institutionenAbstract : This paper proposes the basic predictive regression and Markov Regime-Switching regression to predict the excess stock returns in both US and Sweden stock markets. The analysis shows that the Markov Regime-Switching regression models out perform the linear ones in out-of-sample forecasting, which is due to the fact that the regime-switching models capture the economic expansion and recession better. READ MORE
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20. Effects of Quantitative Easing on the Swedish Real Estate Market, an ARDL Approach
University essay from KTH/Fastigheter och byggandeAbstract : Quantitative easing (QE) is an unconventional monetary policy tool used by central banks to stimulate the economy in times when conventional monetary policy is not sufficient. In the wake of covid-19, central banks around the world has announced significant increases in their QE-programs. READ MORE
