Essays about: "Rolling regressions"
Showing result 6 - 8 of 8 essays containing the words Rolling regressions.
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6. Smile! It increases your face value
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : This thesis examines some of the multiple variations of the previously established Rules of Thumb; which are used in attempting to explain implied volatility sur- faces. Here, these Rules are extensively tested on the Swedish stock market index (OMXS30) using rolling window analysis and linear stepwise regressions with for- ward selection. READ MORE
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7. Empirical evidence of stock return predictability using macroeconomic variables
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : We investigate whether macroeconomic variables can predict returns of the OMXS30 index in the short run, and if an investor can generate abnormal profits from using the variables with significant predictive power. Granger causality tests, along with a predictive OLS regression framework show that the first difference of the repo rate and the log difference in exchange rates significantly Granger cause stock returns on the Swedish market. READ MORE
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8. Does the explanatory power of the monetary prediction models change during times of financial crisis? A study of the Swedish krona.
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : This study compares how the Swedish krona, valued in four different currencies, changes during times of financial crisis with non-crisis periods. Then out-of-sample predictions are made based on the flexible-price model. The predictions are made for the one period time horizon using the most recent information available at that time. READ MORE
