Essays about: "black monday 1987"

Found 4 essays containing the words black monday 1987.

  1. 1. Parameter Update Schemes for Hidden Markov Models applied to Financial Returns

    University essay from Lunds universitet/Matematisk statistik

    Author : Sigfrid Forsberg; [2022]
    Keywords : Markov Chain; Finance; Hidden Markov Model; Generalized Autoregressive Score Model; S P-500; Nikkei; Adaptive Model; Volatility; Regime-switching Model; Line-Search Algorithm; Predictor-Corrector; Quasi-Newton; Mathematics and Statistics;

    Abstract : This thesis was dedicated to investigating the use of different parameter update schemes for Hidden Markov models with time-varying parameters, with an emphasis on developing alternatives to the quasi-Newton step. The focus was on applications to financial returns, using data from the S\&P-500 and the Nikkei index, and for comparison, a trial using synthetic data was also performed. READ MORE

  3. 2. CONTINUOUS TIME PROCESSES IN TIMES OF CRISIS: THE CASE OF GBM AND CEV MODELS

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Jesper Giversen; Mohamed Bendkia; [2011]
    Keywords : Geometric Brownian Motion; GBM; Constant Elasticity of Variance; CEV; Continuous Time Processes; Financial Markets; Financial Crisis; Business and Economics;

    Abstract : This research aims at studying continuous time models within different stock market environments. We assume that the modeling of continuous time processes may be altered whether an equity market is experiencing a crisis or a pre-crisis period. READ MORE

  4. 3. The Implication of Payout Policy on Stock Performance

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Viktor Sundberg; Yinjie Wang; [2010]
    Keywords : Payout Policy; Dividends; Stock performance; Financial Crisis;

    Abstract : This paper measures the effect of payout policies on stock returns in times of economic turbulence. We go through the most recent financial crisis from 2007 to the end of 2009 as well as the dotcom bubble in the end of 2000. READ MORE

  5. 4. Evaluation of single and three factor CAPM based on Monte Carlo Simulation

    University essay from Institutionen för teknik och samhälle

    Author : Tzveta Iordanova; [2007]
    Keywords : Single factor CAPM; Fama French CAPM; OLS regression; Monte Carlo Simulation;

    Abstract : The aim of this master thesis was to examine whether the noticed effect of Black Monday October 1987 on stock market volatility has also influenced the predictive power of the single factor CAPM and the Fama French three factor CAPM, in order to conclude whether the models are less effective after the stock market crash. I have used an OLS regression analysis and a Monte Carlo Simulation technique. READ MORE