Essays about: "Generalized autoregressive score GAS"
Found 3 essays containing the words Generalized autoregressive score GAS.
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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. Parametric portfolio policies with ESG -There is no cost
University essay from Göteborgs universitet/Graduate SchoolAbstract : We propose an investment strategy with the potential for investors to gain a stronger environmental, social, and corporate governance (ESG) profile without a negative impact on performance. Specifically, we study the performance of a parametric portfolio policy when utilizing ESG score and ESG momentum characteristics in addition to value and momentum, in contrast to utilizing value and momentum only. 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
