Essays about: "Ludvig Göransson"
Found 3 essays containing the words Ludvig Göransson.
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1. Modeling asymmetry in volatility response - non-Gaussian innovations approach
University essay from Lunds universitet/Statistiska institutionenAbstract : This thesis is an explorative note on the non-Gaussian innovations of the volatility process. More specifically, the thesis investigates if the decomposition of the Standard Classical Laplace (SCL) distribution to a difference of two exponential is a valid alternative to modelling the asymmetric volatility processes, taking volatility clustering, the leverage effect and asymmetric response in volatility into account. READ MORE
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2. MODELING CAPITAL ASSET RETURNS ON THE SWEDISH STOCK MARKET - An evaluation of Fama French’s Five Factor Model against its predecessors
University essay from Lunds universitet/Statistiska institutionenAbstract : This thesis compared the explanatory rate of three asset pricing models related to excess returns on the Swedish stock market. A more granular evaluation of each model’s factors was also conducted. A random sample of 90 companies was drawn from the Stockholm Stock Exchange (N = 371) using a Blomberg terminal. READ MORE
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3. An Evaluation of Asset Pricing Models in the Swedish Context - Is Carharts Four-Factor Model more suitable than its predecessors for explaining the Swedish stock exchange?
University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistikAbstract : This thesis investigates the explanatory power of the Capital Asset Pricing Model, the Fama French Three-Factor Model and the Carhart Four-Factor Model on the Stockholm Stock Exchange over the period 2012-2016. The purpose is to examine whether or not the Carhart Four-Factor Model explains excess return variability better than the Capital Asset Pricing Model and the Fama French Three-Factor Model. READ MORE