Essays about: "In-sample analysis"
Showing result 11 - 15 of 41 essays containing the words In-sample analysis.
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11. Risk Measurement and Performance Attribution for IRS Portfolios Using a Generalized Optimization Method for Term Structure Estimation
University essay from Linköpings universitet/ProduktionsekonomiAbstract : With the substantial size of the interest rate markets, the importance of accurate pricing, risk measurement and performance attribution can not be understated. However, the models used on the markets often have underlying issues with capturing the market's fundamental behavior. READ MORE
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12. A systematic review and meta-analysis of age discrimination in recruitment
University essay from Linnéuniversitetet/Institutionen för psykologi (PSY)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
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13. Index prediction on the Swedish stock market using natural language processing methods on Swedish news
University essay from Lunds universitet/Matematisk statistikAbstract : 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
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14. Emission Allowances in the European Union Emissions Trading System
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : 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
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15. An Empirical Study: Expected Shortfall Estimation Methods for a Bank's Trading Book
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : 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