Essays about: "In-sample analysis"

Showing result 1 - 5 of 29 essays containing the words In-sample analysis.

  1. 1. A systematic review and meta-analysis of age discrimination in recruitment

    University essay from Linnéuniversitetet/Institutionen för psykologi (PSY); Linnéuniversitetet/Institutionen för psykologi (PSY)

    Author : Lucija Batinovic; Marlon Howe; [2021]
    Keywords : Age discrimination; recruitment; meta-analysis; systematic review;

    Abstract : Correspondence and vignette experiments have already been an important part of measuring discrimination in hiring decisions for several decades, especially in terms of ethnic discrimination. Although the body of evidence is growing, no study has provided a systematic overview of age discrimination in recruitment before. READ MORE

  2. 2. Index prediction on the Swedish stock market using natural language processing methods on Swedish news

    University essay from Lunds universitet/Matematisk statistik

    Author : Erik Ris; Axel Sjöberg; [2021]
    Keywords : Stock market prediction; Index prediction; Sentiment analysis; Topic modelling; LDA; Swedish newspaper data; NLP; Machine Learning; RNN; Mathematics and Statistics;

    Abstract : This master thesis explores if topic modelling and sentiment analysis on Swedish financial newspaper data can be used to predict the direction of the Swedish stock market. A pipeline was set up where full length articles as well as article summaries were fed into a topic model and a sentiment analysis model. READ MORE

  3. 3. Emission Allowances in the European Union Emissions Trading System

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Franziska Manke; [2020]
    Keywords : Emission Allowances; EU ETS; Volatility; GARCH; Cointegration;

    Abstract : The first part of the thesis analyses the short term behavior of daily emission allowance (EUA) log returns with a focus on volatility dynamics in the recent market environment. In this part, I present a historical overview of the European Union Emission Trading System (EU ETS), analyze the stylized facts of the time series, employ appropriate time series models, and assess model in-sample and out-of-sample performance. READ MORE

  4. 4. An Empirical Study: Expected Shortfall Estimation Methods for a Bank's Trading Book

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Laura Emina Ludolphy; Emilia Johansson; [2020]
    Keywords : Expected Shortfall; Trading Book; Student’s t-distribution; GARCH 1; 1 ; Volatility Weighted Historical Simulation; Business and Economics;

    Abstract : This thesis investigates methods that estimate the Expected Shortfall correctly by passing the Acerbi-Szekely (2014) backtest in both stressed and calm periods. This backtest is added to in this thesis to test against both under- and overestimation of ES. READ MORE

  5. 5. Smile! It increases your face value

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Anton Evilevitch; Dennis Elgegren; [2019]
    Keywords : Implied Volatility Surface; Rules of Thumb; European Option Contracts; Walk Forward Analysis; Stepwise Procedure; Business and Economics;

    Abstract : This thesis examines some of the multiple variations of the previously established Rules of Thumb; which are used in attempting to explain implied volatility sur- faces. Here, these Rules are extensively tested on the Swedish stock market index (OMXS30) using rolling window analysis and linear stepwise regressions with for- ward selection. READ MORE