Essays about: "In-sample"

Showing result 16 - 20 of 98 essays containing the word In-sample.

  1. 16. Bayesian Structural Time Series in Marketing Mix Modelling

    University essay from KTH/Matematik (Avd.)

    Author : Jessika Karlsson; [2022]
    Keywords : Marketing mix modelling; Bayesian structural time series; variational inference; local linear trend; semi-local linear trend; Marketing mix modellering; Bayesianska strukturella tidsseriemodeller; variationell inferens; lokal-linjär trend; semi-lokal linjär trend;

    Abstract : Marketing Mix Modelling has been used since the 1950s, leveraging statistical inference to attribute media investments to sales. Typically, regression models have been used to model the relationship between the two. READ MORE

  3. 17. Risk Measurement and Performance Attribution for IRS Portfolios Using a Generalized Optimization Method for Term Structure Estimation

    University essay from Linköpings universitet/Produktionsekonomi

    Author : Fredrik Gerdin Börjesson; Christoffer Eduards; [2021]
    Keywords : Interest rate measurement; term structures; multiple yield curves; principal component analysis; systematic risk; risk factors; term structure simulation; Latin hypercube sampling with dependence; risk measurement; value-at-risk; expected shortfall; interest rate swap; performance attribution;

    Abstract : 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

  4. 18. A heteroscedastic volatility model with Fama and French risk factors for portfolio returns in Japan

    University essay from Stockholms universitet/Statistiska institutionen

    Author : Edvin Wallin; Timothy Chapman; [2021]
    Keywords : Heteroscedasticity; GARCH 1; 1 ; ARMA p; q ; Skewed student s t-distribution; Regression; Fama and French Five-factor model;

    Abstract : This thesis has used the Fama and French five-factor model (FF5M) and proposed an alternative model. The proposed model is named the Fama and French five-factor heteroscedastic student's model (FF5HSM). The model utilises an ARMA model for the returns with the FF5M factors incorporated and a GARCH(1,1) model for the volatility. READ MORE

  5. 19. Pipe Surface Roughness at Microscale and Discussion of Possible Relation to Flow Properties

    University essay from Lunds universitet/Avdelningen för Teknisk vattenresurslära

    Author : Yiting Qiao; Mahsa Kajbaf Nezhad; [2021]
    Keywords : pipe flow; roughness; microscale; SEM; Technology and Engineering;

    Abstract : Despite decades of intense research, the behavior of water molecule still warrants new research.Water flow through various pipe systems has become a pivotal corner stone of functioning human infrastructure. READ MORE

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

    University essay from 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