Essays about: "Niklas Hummel"

Found 2 essays containing the words Niklas Hummel.

1. 1. Serial Dependence and Portfolio Performance in the Swedish Stock Market

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Niklas Hummel; [2016]
   Keywords : Vector autoregression; portfolio choice; Business and Economics;

   Abstract : This paper studies the possibility to exploit linear dependence in stock returns of the Swedish OMX 30 index. The main model studied in the paper is a Vector autoregressive (VAR) model. Ten years of data from the OMX 30 index is used, consisting of 27 stocks for the period 2006-2015 which is transformed into daily, weekly and monthly returns. READ MORE

3. 2. Volatility Forecasting In the Nordic Stock Market

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Niklas Hummel; [2015]
   Keywords : GARCH; volatility; forecasting; Business and Economics;

   Abstract : This paper studies volatility prediction on OMX Stockholm 30, OMX Helsinki 25 and OMX Nordic 40. The models used are a historical variance model, an exponentially weighted moving average model and three models from the GARCH family. These are GARCH(1,1), EGARCH(1,1) and GJR(1,1), with normal and t-distribution respectively. READ MORE