Essays about: "Russell indices"

Found 2 essays containing the words Russell indices.

  1. 1. Volatility Forecasting using GARCH Processes with Exogenous Variables

    University essay from KTH/Matematisk statistik

    Author : Ellis Larson; [2022]
    Keywords : Stochastic process; GARCH model; Volatility; Exogenous variables; Evaluation metrics.; GARCH; Volatilitet; Exogena variabler; Evalueringsmetriker.;

    Abstract : Volatility is a measure of the risk of an investment and plays an essential role in several areas of finance, including portfolio management and pricing of options. In this thesis, we have implemented and evaluated several so-called GARCH models for volatility prediction based on historical price series. READ MORE

  3. 2. CAN ONE OUTPERFORM THE MARKET BY INVESTING IN SMALL AND

    University essay from Handelshögskolan vid Umeå universitet

    Author : Mathieu Trembleau; Gustavo Hiodo; [2007]
    Keywords : Efficient Market Hypothesis; Abnormal returns; Size effect anomaly ; Passive strategy; Market Index; S P indices; Russell indices;

    Abstract : This study deals with one of the efficient market hypothesis’ anomaly. The research aims at proving the existence of a size anomaly by answering the question: can you outperform the market by investing in small and mid caps? It is in fact a questioning of the well-know efficient market hypothesis (EMH). READ MORE