Essays about: "Carl Oscar Dannström"

Found 1 essay containing the words Carl Oscar Dannström.

  1. 1. Volatility Forecasting with Artificial Neural Networks: Can we trust them?

    University essay from Stockholms universitet/Finansiering

    Author : Carl Oscar Dannström; Axel Broang; [2022]
    Keywords : ;

    Abstract : This thesis investigates how two types of artificial neural network models (ANN), feedforwardneural networks (FNN) and long short-term memory (LSTM), used for realized volatility (RV) forecasting, perform during high and low volatility regimes in comparison to the heterogeneousautoregressive (HAR) model. This is done for 23 stocks, constituents of the Swedish index OMXS30, between the 8th of February 2010 and the 31st of January 2022 using ten exogenous and three endogenous input variables. READ MORE