Essays about: "Conditional Variance"

Showing result 21 - 25 of 75 essays containing the words Conditional Variance.

  1. 21. 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

  3. 22. Portfolio Optimization : Constructing portfolios by combining investment strategies

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : Richard Olofsson; [2019]
    Keywords : ;

    Abstract : I detta arbete tillämpas en metod för att erhålla en optimal kombination av portföljer som följer olika investeringsstrategier. Detta görs genom att använda en datamängd av historiska stängningspriset för olika typer av värdepapper. READ MORE

  4. 23. Comparison of sequence classification techniques with BERT for named entity recognition

    University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Author : Erik Rosvall; [2019]
    Keywords : ;

    Abstract : This thesis takes its starting point from the recent advances in Natural Language Processing being developed upon the Transformer model. One of the significant developments recently was the release of a deep bidirectional encoder called BERT that broke several state of the art results at its release. READ MORE

  5. 24. Return Predictability: Can correlation effectively predict returns?

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Tor Fryer Petersson; Stina Karlsson; [2018]
    Keywords : CAPM; Average correlation; Risk-reward trade-off; Return predictability; Roll Critique;

    Abstract : Previous research shows that index variance can be decomposed into average constituent correlation and average constituent variance. These studies hold that the average correlation captures features of the aggregate market risk and under a risk-reward relationship is a predictor of future excess returns. READ MORE

  6. 25. Bank stock return sensitivity to changes in interest rate level and volatility

    University essay from Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

    Author : Filip Bengtsson; Alfred Persson; [2018]
    Keywords : Banks; stock return; interest rates; volatility; GARCH-M;

    Abstract : This paper examines how the level and volatility of interest rates affect the stock return of banks using a GARCH-M model. Data is collected for Swedish and Danish banks stock return and interest rates on monthly basis for the period January 2000 to April 2018. READ MORE