Essays about: "Hugo Hultman"

Found 3 essays containing the words Hugo Hultman.

1. 1. Volatility Forecasting An Empirical Study on Bitcoin Using Garch and Stochastic Volatility models

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Hugo Hultman; [2018]
   Keywords : Volatility forecasting; Stochastic volatility; GARCH; Bitcoin; Business and Economics;

   Abstract : Cryptocurrencies are on the rise, with new financial assets, new frameworks need to be developed. This thesis sets out to the examine the GARCH(1,1), the bivariate-BEKK(1,1), and the Standard stochastic volatility model’s volatility forecasting performance on BTC/USD, where the bivariate model is estimated on both BTC/USD and ETH/USD closing price data. READ MORE

3. 2. Forecasting the Volatility in Financial Assets using Conditional Variance Models

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Jesper Swanson; Hugo Hultman; [2017]
   Keywords : Volatility Forecasting; Conditional Variance; ARCH; GARCH; IGARCH; EGARCH; GJR-GARCH; Business and Economics;

   Abstract : This thesis examines multiple ARCH-family models' volatility forecasting performance on the London Bullion Market Gold price, the OMXS30, and the USD/EUR exchange rate. Further, this thesis uses two different time periods to exploit differences and similarities in the forecast accuracy among the conditional variance models. READ MORE

4. 3. Validation of Forced Response Methods for Turbine Blades

   University essay from KTH/Kraft- och värmeteknologi

   Author : Hugo Hultman; [2015]
   Keywords : Forced response; Turbines; Reduced Order Modeling;

   Abstract : .... READ MORE