Essays about: "Exogena variabler"

Showing result 1 - 5 of 7 essays containing the words Exogena variabler.

  1. 1. Volatility Forecasting using GARCH Processes with Exogenous Variables

    University essay from KTH/Matematisk statistik

    Author : Ellis Larson; [2022]
    Keywords : Stochastic process; GARCH model; Volatility; Exogenous variables; Evaluation metrics.; GARCH; Volatilitet; Exogena variabler; Evalueringsmetriker.;

    Abstract : Volatility is a measure of the risk of an investment and plays an essential role in several areas of finance, including portfolio management and pricing of options. In this thesis, we have implemented and evaluated several so-called GARCH models for volatility prediction based on historical price series. READ MORE

  3. 2. Using Gradient Boosting to Identify Pricing Errors in GLM-Based Tariffs for Non-life Insurance

    University essay from KTH/Matematik (Avd.)

    Author : Felix Greberg; Andreas Rylander; [2022]
    Keywords : GLM; Gradient Boosting; XGBoost; Non-life insurance; Property Casualty; Rate making; Insurance Tariff; MTPL insurance; Machine learning; Regression trees; Tweedie regression; Credit risk; GLM; Gradient Boosting; XGBoost; Skadeförsäkring; Prissättning; Försäkringstariff; Trafikförsäkring; Regressionsträd; Maskininlärning; Tweedie-regression; Kreditrisk;

    Abstract : Most non-life insurers and many creditors use regressions, more specifically Generalized Linear Models (GLM), to price their liabilities. One limitation with GLMs is that interactions between predictors are handled manually, which makes finding interactions a tedious and time-consuming task. READ MORE

  4. 3. Identifying Reflexivity

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

    Author : Marcus Nykvist; Eric Månsson; [2022]
    Keywords : Reflexivity; EMH; AMH; fundamental value; market value; feedback loop; cognitive function; manipulative function;

    Abstract : Abstract  Master thesis in Business Administration, School of Business and Economics Linnaeus University 4FE17E VT2022  Authors: Eric Månsson & Marcus Nykvist  Supervisor: Magnus Willesson  Examiner: Christopher von Koch  Title: Identifying Reflexivity  Keywords: Reflexivity, EMH, AMH, fundamental value, market value, feedback loop, cognitive function, manipulative function.  Background: Current economic theory describes the risks the financial markets face as exogenous in nature. READ MORE

  5. 4. Eco-efficiency in Swedish dairy farms : incorporating sustainability into the measure of eco-efficiency

    University essay from SLU/Dept. of Economics

    Author : Elin Martinsson; [2020]
    Keywords : dairy farms; eco-efficiency; environmental pressures; planetary boundaries;

    Abstract : This thesis introduces a novel method to incorporate absolute values of GHG emissions into the measure of eco-efficiency. The aim is to assess eco-efficiency in Swedish dairy farms and adjusting the scores towards a threshold of absolute levels of GHG emissions using the proposed method. READ MORE

  6. 5. Jump Estimation of Hidden Markov Models with Time-Varying Transition Probabilities

    University essay from Lunds universitet/Matematisk statistik

    Author : Henning Tansjö; [2020]
    Keywords : Jump estimation; Hidden Markov model; financial time series; clustering; unsupervised learning.; Mathematics and Statistics;

    Abstract : The Hidden Markov model is applicable to a wide variety of fields. Applied to financial time series, its assumed underlying state sequence can reflect the time series' tendency to behave differently over different periods of time. In many situations, models could be improved by including exogenous data. READ MORE