Essays about: "Arvid Nybrant"

Found 2 essays containing the words Arvid Nybrant.

1. 1. On Robust Forecast Combinations With Applications to Automated Forecasting

   University essay from Uppsala universitet/Statistiska institutionen

   Author : Arvid Nybrant; [2021]
   Keywords : Forecast Combinations; Model Uncertainty; Predictive Failure; Forecast Risk;

   Abstract : Combining forecasts have been proven as one of the most successful methods to improve predictive performance. However, while there often is a focus on theoretically optimal methods, this is an ill-posed issue in practice where the problem of robustness is of more empirical relevance. READ MORE

3. 2. Predicting Uncertainty in Financial Markets : -An empirical study on ARCH-class models ability to estimate Value at Risk

   University essay from Uppsala universitet/Statistiska institutionen

   Author : Arvid Nybrant; Henrik Rundberg; [2018]
   Keywords : VaR; GARCH; Volatility Forecasting; Backtesting; Conditional Heteroscedasticity;

   Abstract : Value at Risk has over the last couple of decades become one of the most widely used measures of market risk. Several methods to compute this measure have been suggested. READ MORE