Essays about: "Conditional Correlations"

Showing result 1 - 5 of 20 essays containing the words Conditional Correlations.

  1. 1. Investigating the Connection between Behavioural Diversity and Mutation Operators in Software Testing

    University essay from Göteborgs universitet/Institutionen för data- och informationsteknik

    Author : Abdullahil Baki Md Ruhunnabi; Tahmina Aziz Tahrin; [2022-10-10]
    Keywords : software engineering; mutation testing; behavioural diversity; mutation operators; subsumed mutants; clustering;

    Abstract : [Context and Motivation] Mutation testing supports testers by assessing the quality of a test suite by automatically introducing systematically generated faults in the software and testing if the test cases fail the mutated source code. Despite offering insights on test behaviour, the costs associated with mutation testing are very high, since mutation tools require multiple test runs on various altered versions of the source code. READ MORE

  3. 2. Portfolio Diversification with Commodities : From a Swedish Perspective

    University essay from Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten

    Author : Simon Derenkow; Max Walméus; [2022]
    Keywords : Commodities; DCC-GARCH; OMXSPI; Inflation; Correlation; Diversification; Modern Portfolio Theory;

    Abstract : This paper investigates the diversification characteristics of commodities in relation to the Swedish equity index OMXSPI. Much of the previous literature concludes that gold and oil possess diversification or hedging properties against the US equity markets. READ MORE

  4. 3. GARCH and GAS: Comparison of volatility models for Bitcoin in different exchanges

    University essay from Göteborgs universitet/Graduate School

    Author : Mohammad Rashidi Ranjbar; [2020-07-08]
    Keywords : Bitcoin; Volatility Modelling; GAS; GARCH; Realized GARCH; Coinbase; Bitfinex; Bitstamp;

    Abstract : Different characteristics of cryptocurrencies have been investigated by a number of studies. In this study, I focus on conditional volatility of Bitcoin in three exchanges which are Coinbase, Bitfinex and Bitstamp. READ MORE

  5. 4. A STUDY ON THE DCC-GARCH MODEL’S FORECASTING ABILITY WITH VALUE-AT-RISK APPLICATIONS ON THE SCANDINAVIAN FOREIGN EXCHANGE MARKET

    University essay from Uppsala universitet/Statistiska institutionen

    Author : Tim Andersson-Säll; Johan Lindskog; [2019]
    Keywords : Multivariate GARCH; Conditional Correlations; Forecasting; Time-varying covariance matrices; Exchange rate returns; Variance-Covariance matrix;

    Abstract : This thesis has treated the subject of DCC-GARCH model’s forecasting ability and Value-at- Risk applications on the Scandinavian foreign exchange market. The estimated models were based on daily opening foreign exchange spot rates in the period of 2004-2013, which captured the information in the financial crisis of 2008 and Eurozone crisis in the early 2010s. READ MORE

  6. 5. Volatility forecasting for cryptocurrencies under a heavy-tailed distribution

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Diego Mauricio Vargas Pico; Alina Bylkova; [2019]
    Keywords : Cryptocurrency; Bivariate Diagonal BEKK; Bivariate Diagonal VECH; MGARCH; Volatility; Business and Economics;

    Abstract : In the recent years, cryptocurrencies have gained popularity and have experienced high price volatility. This essay pretends to examine how the multivariate GARCH models predict the volatility of these digital currencies and what implications exist if we consider the correlations among them to forecast their volatility. READ MORE