Essays about: "Out-of-sample analysis"

Showing result 21 - 25 of 53 essays containing the words Out-of-sample analysis.

  1. 21. Factors that influence condominium pricing in Stockholm: A regression analysis : A regression analysis

    University essay from KTH/Matematisk statistik

    Author : Elin Dai; Lara Güleryüz; [2019]
    Keywords : Linear regression; housing; housing market; regression analysis; Regressionsanalys; linjär regression; bostadsmarknad; bostadsprissättning;

    Abstract : This thesis aims to examine which factors that are of significance when forecasting the selling price of condominiums in Stockholm city. Through the use of multiple linear regression, response variable transformation, and a multitude of methods for refining the model fit, a conclusive, out of sample validated model with a confidence level of 95% was obtained. READ MORE

  3. 22. Smile! It increases your face value

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Anton Evilevitch; Dennis Elgegren; [2019]
    Keywords : Implied Volatility Surface; Rules of Thumb; European Option Contracts; Walk Forward Analysis; Stepwise Procedure; Business and Economics;

    Abstract : This thesis examines some of the multiple variations of the previously established Rules of Thumb; which are used in attempting to explain implied volatility sur- faces. Here, these Rules are extensively tested on the Swedish stock market index (OMXS30) using rolling window analysis and linear stepwise regressions with for- ward selection. READ MORE

  4. 23. Measuring the Risk-neutral Probability Distribution of Equity Index Options

    University essay from Linköpings universitet/Produktionsekonomi

    Author : Gustav Dackner; Linus Falk; [2019]
    Keywords : ;

    Abstract : The focus of this master thesis is to develop a model that measures the risk-neutral probability distributionof the future value of a portfolio consisting of options on the S&P 500 index. The cornerstone of the model is an explicit and thorough construction of the local volatility surface. The parametric model of Coleman etal. READ MORE

  5. 24. Bankruptcy Distributions and Modelling for Swedish Companies Using Logistic Regression

    University essay from KTH/Matematisk statistik

    Author : Jacob Ewertzh; [2019]
    Keywords : Applied mathematics; Financial mathematics; Statistics; Logistic regression; bankruptcy distribution; bankruptcy models; Forecasting and risk measures; Tillämpad matematik; Finansiell matematik; Statistik; Logistisk regression; konkursfördelning; konkursmodeller; Prognos och riskmått;

    Abstract : This thesis discusses the concept of bankruptcy, or default, for Swedish companies. The actual distribution over time is considered both on aggregate level and within different industries. Several models are constructed to best possible describe the default frequency. READ MORE

  6. 25. An Independent Dynamic Latent Factor Approach to Yield Curve Modeling

    University essay from Göteborgs universitet/Graduate School

    Author : Robin Rohlén; [2018-07-04]
    Keywords : ;

    Abstract : Understanding the yield curve characteristics and dynamics is important for many tasks such as pricing financial assets, portfolio allocation, managing financial risk, and conducting monetary policy. Therefore, it is important to use models that are interpretable, fits well, and make useful forecasts. READ MORE