Essays about: "Jones model"

Showing result 21 - 25 of 61 essays containing the words Jones model.

  1. 21. Type 1 error rate and significance levels when using GARCH-type models

    University essay from Uppsala universitet/Statistiska institutionen

    Author : Ellinor Gyldberg; Henrik Bark; [2019]
    Keywords : ;

    Abstract : The purpose of this thesis is to test whether the probability of falsely rejecting a true null hypothesis of a model intercept being equal to zero is consistent with the chosen significance level when modelling the variance of the error term using GARCH (1,1), TGARCH (1,1) or IGARCH (1,1) models. We test this by estimating “Jensen’s alpha” to evaluate alpha trading, using a Monte Carlo simulation based on historical data from the Standard & Poor’s 500 Index and stocks in the Dow Jones Industrial Average Index. READ MORE

  3. 22. THE SIZE OF TERROR Linking Inequality, Ideology and Corruption to the Membership of Terrorist Groups

    University essay from Göteborgs universitet/Statsvetenskapliga institutionen

    Author : Tobias Risse; [2018-09-14]
    Keywords : ;

    Abstract : The aim of this thesis is to investigate the effect of economic inequality on the size of terrorist groups. While several scholars have examined the impact of inequality on the number of ter-rorist attacks, as well as on other types of political violence, its influence on the membership of terrorist organizations has not been explored yet. READ MORE

  4. 23. Financial Behavior and the Momentum Strategy

    University essay from Lunds universitet/Företagsekonomiska institutionen

    Author : Olle Josefsson; Emil Eliasson; Fredrik Thörning; [2018]
    Keywords : Behavioral Finance; Momentum Strategy; CAPM; Sharpe Ratio and Trading; Business and Economics;

    Abstract : Title: Financial Behavior and the Momentum Strategy Seminar date: 2018-05-31 Course: FEKH89, Bachelor’s Degree Project in Financial Management, Business Administration, Undergraduate Level, 15 ECTS Authors: Emil Eliasson, Olle Josefsson, Fredrik Thörning Advisor: Maria Gårdängen Purpose: The authors of this thesis aim to study if it is possible to generate a better Sharpe ratio within the CAPM-theory using a mathematical model to buy and sell a risky asset depending on the market volatility. The authors then aim to explain the changes in volatility by discussing anomalies in the market. READ MORE

  5. 24. Earnings management during recessions, A study on US listed firms

    University essay from Handelshögskolan i Stockholm/Institutionen för redovisning och finansiering

    Author : Love Berglund; Alexander Airaxin; [2018]
    Keywords : earnings management; recession; modified jones model; roychowdhury model;

    Abstract : We examine the relationship between underlying macroeconomic conditions and the tendencies for firms to manage earning. We do this by focusing on both accrual-based and real activities manipulation over time, using a time-series approach. READ MORE

  6. 25. Automated Rodent Sleep Analysis with Modern Machine Learning Methods

    University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Author : Damien Jones; [2018]
    Keywords : ;

    Abstract : Sleep staging is the use of electrophysiological signals to determine the quality and architecture of sleep in an animal. Currently, to achieve this, researchers manually classify contiguous sections of electroencephalographic and electromyographic signals into defined sleep modes or stages. This is a slow and laborious process. READ MORE