Essays about: "1973"

Showing result 1 - 5 of 119 essays containing the word 1973.

  1. 1. Principal Component Analysis and the Cross-Sectional Variation of Returns

    University essay from

    Author : Armin Ramovic; Mikael Åkerman; [2021-06-23]
    Keywords : Principal Component Analysis; PCA; principal components; cross-sectional variation of returns; risk premia; asset pricing; demensionality reduction; risk factors; machine learning;

    Abstract : We utilize Principal Component Analysis (PCA), a dimensionality reduction technique, on a set of 142 risk factors, including macroeconomic factors, proposed in financial literature to construct factor models with high explanatory powers when analysing the cross-sectional variation of portfolio returns. We apply a Fama and Macbeth (1973) two-pass regression to estimate risk premia commanded by our principal components. READ MORE

  2. 2. Option Modelling by Deep Learning

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Niclas Klausson; Victor Tisell; [2021-02-10]
    Keywords : Deep learning; deep hedging; generative adversial networks; arbitrage pricing;

    Abstract : In this thesis we aim to provide a fully data driven approach for modelling financial derivatives, exclusively using deep learning. In order for a derivatives model to be plausible, it should adhere to the principle of no-arbitrage which has profound consequences on both pricing and risk management. READ MORE

  3. 3. Spatio-temporal drought characteristics in the Limpopo basin from 1918 to 2018 - A case study based on analysis of the Standardized Precipitation Evaporation Index (SPEI)

    University essay from Lunds universitet/Institutionen för naturgeografi och ekosystemvetenskap

    Author : Sandra Domingos Sambo; [2021]
    Keywords : rdought; Standardized Precipitation Evapotranspiration Index; Limpopo River basin; Normalized difference vegetation index; Mann-Kendall Test; Correlation analysis; Earth and Environmental Sciences;

    Abstract : The identification of the characteristics of drought are of great importance in water resources planning and management. This study explored the characteristics of drought at Limpopo River Basin (LRB) from 1918 to 2018. READ MORE

  4. 4. The impact of macroeconomic variables on the Swedish stock market

    University essay from Karlstads universitet; Karlstads universitet

    Author : John Johansson; Anton Rudberg; [2021]
    Keywords : Macroeconomic variables; Swedish stock market; Cointegration; Granger causality; Makroekonomiska variabler; Svenska aktiemarknaden; Samintegrering; Granger kausalitet;

    Abstract : The main objective of this thesis is to find information of how, or if, the selected macroeconomic variables consumer price index, interest rate, exchange rate, industrial production, oil price and money supply have affected the Swedish stock market (OMXafgx) during the time-period 1973-2017. Findings in this research proves that all variables are co-integrated with the Swedish stock market, but only one of the variables selected, industrial production, have a short- and a longrun relationship affecting the Swedish stock market. READ MORE

  5. 5. The Impact of COVID-19 on Child Protection Policy in Humanitarian Action : Case study; South Sudan internally displaced people in camps settlement.

    University essay from

    Author : Charlotte Wara; [2021]
    Keywords : COVID-19 measures; Child Protection Policy; Participatory Communication; Community Engagement; IDPs in Camp Settlements; and South Sudan.;

    Abstract : The principle of child protection and the efforts to protect children from abuse and neglect in pre-modern societies have different notions. According to De Mause, the past was a barbaric place for children and the history of childhood is a nightmare (De Mause, 1995, p. 1). READ MORE