Essays about: "ARMA p"

Found 4 essays containing the words ARMA p.

  1. 1. A heteroscedastic volatility model with Fama and French risk factors for portfolio returns in Japan

    University essay from Stockholms universitet/Statistiska institutionen

    Author : Edvin Wallin; Timothy Chapman; [2021]
    Keywords : Heteroscedasticity; GARCH 1; 1 ; ARMA p; q ; Skewed student s t-distribution; Regression; Fama and French Five-factor model;

    Abstract : This thesis has used the Fama and French five-factor model (FF5M) and proposed an alternative model. The proposed model is named the Fama and French five-factor heteroscedastic student's model (FF5HSM). The model utilises an ARMA model for the returns with the FF5M factors incorporated and a GARCH(1,1) model for the volatility. READ MORE

  3. 2. Analysis of Cryptocurrency volatility and statistical distributions using ARMA and GARCH-type models

    University essay from Lunds universitet/Statistiska institutionen

    Author : Zhiyi You; [2019]
    Keywords : Cryptocurrency; Bitcoin; Litecoin; Ethereum; volatility; ARMA; GARCH-type models; eGARCH; Student s t-distribution; Laplace distribution; statistical distributions; Mathematics and Statistics;

    Abstract : This study aims to investigate and model statistical properties of Bitcoin and other major cryptocurrencies. There were recent drastic changes in the level of Bitcoin prices as it moved from $740 in 2014 to $19,187 in 2017, and down to $3,830 in 2018. READ MORE

  4. 3. On stock return prediction with LSTM networks

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Magnus Hansson; [2017]
    Keywords : artificial neural networks; recurrent networks; LSTM; EMH; Business and Economics;

    Abstract : Artificial neural networks are, again, on the rise. The decreasing costs of computing power and the availability of big data together with advancements of neural network theory have made this possible. READ MORE

  5. 4. Statistical Analysis of Wind Components

    University essay from Lunds universitet/Matematisk statistik

    Author : Joakim Sahlberg; [2013]
    Keywords : Mathematics and Statistics;

    Abstract : In the world of aviation, the need for accurate weather data is very important in order to plan and conduct a safe flight. Due to technology, there are ways to recieve accurate weather data live today, but also, due to technology, this data might not be available. Thus the need for accurate statistical data is desirable. READ MORE