Essays about: "Generalized Autoregressive Score Model"
Found 3 essays containing the words Generalized Autoregressive Score Model.
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1. Forecasting Volatility of Electricity Intraday Log Returns with Generalized Autoregressive Score Models
University essay from Göteborgs universitet/Graduate SchoolAbstract : We forecast volatility of electricity intraday log returns with Generalized Autoregressive Score (GAS) models. We extend our GAS models with variables representing the difference between the public’s expectation of weather and energy load and the actual outcome using a restricted ARMA(4,4) model. READ MORE
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2. Parameter Update Schemes for Hidden Markov Models applied to Financial Returns
University essay from Lunds universitet/Matematisk statistikAbstract : This thesis was dedicated to investigating the use of different parameter update schemes for Hidden Markov models with time-varying parameters, with an emphasis on developing alternatives to the quasi-Newton step. The focus was on applications to financial returns, using data from the S\&P-500 and the Nikkei index, and for comparison, a trial using synthetic data was also performed. READ MORE
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3. Modeling the evolution of market uncertainty- Hedge Fund returns and Volatility of Aggregate Volatility within a dynamic perspective
University essay from Göteborgs universitet/Graduate SchoolAbstract : This paper investigates, in a dynamic perspective, whether uncertainty about equity market returns can have implications on hedge fund portfolio decisions over time. Therefore, the thesis wants to ascertain if the risk originated by that uncertainty is an explanatory factor for cross-sectional differences in returns over time. READ MORE
