Essays about: "S P indices"

Showing result 1 - 5 of 38 essays containing the words S P indices.

  1. 1. A comparison of forecasting techniques: Predicting the S&P500

    University essay from Uppsala universitet/Statistiska institutionen

    Author : Axel Neikter; Nils Sjöberg; [2023]
    Keywords : Forecasting; machine learning; random forest; arima;

    Abstract : Accurately predicting the S\&P 500 index means knowing where the US economy is heading. If there was a model that could predict the S\&P 500 with even some accuracy, this would be extremely valuable. Machine learning techniques such as neural network and Random forest have become more popular in forecasting. READ MORE

  3. 2. An investigation of Sustainable Assets, Equitiesand the Bond market during the Globalpandemic, COVID-19

    University essay from Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten

    Author : Vincent Rahm; Frej de la Rosa; [2022]
    Keywords : Conventional bonds; COVID-19; DCC-GARCH; ESG; Green bond; S P500; Portfolio optimization; volatility; MSCI; Sustainable investments; US 10yr; Treasuries; Equities;

    Abstract : ESG investing has been a hot topic during several years and there have been numerousstudies examining the relationship between sustainable assets and non-sustainable assetsincluding green bonds, social bonds, environmental bonds, ESG-bonds and ESG indices;conventional bonds, S&P 500, common stocks and non-ESG indices. During negative marketshocks several ESG stocks and indices have been shown to outperform common stocks andindices. READ MORE

  4. 3. Parameter Update Schemes for Hidden Markov Models applied to Financial Returns

    University essay from Lunds universitet/Matematisk statistik

    Author : Sigfrid Forsberg; [2022]
    Keywords : Markov Chain; Finance; Hidden Markov Model; Generalized Autoregressive Score Model; S P-500; Nikkei; Adaptive Model; Volatility; Regime-switching Model; Line-Search Algorithm; Predictor-Corrector; Quasi-Newton; Mathematics and Statistics;

    Abstract : This thesis was dedicated to investigating the use of different parameter update schemes for Hidden Markov models with time-varying parameters, with an emphasis on developing alternatives to the quasi-Newton step. The focus was on applications to financial returns, using data from the S\&P-500 and the Nikkei index, and for comparison, a trial using synthetic data was also performed. READ MORE

  5. 4. The search for safe haven assets in the time of a global pandemic

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Katja Rasic; [2022]
    Keywords : Volatility spillover; diagonal BEKK-GARCH; global pandemic; safe haven; Business and Economics;

    Abstract : The global pandemic has initially negatively influenced the financial markets all over the world. As a consequence, the volatility in the stock markets increased and investors have experienced great monetary losses. READ MORE

  6. 5. Cryptocurrencies and Market Indices: A Markowitz Portfolio Optimization Problem

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Espen Lever; [2022]
    Keywords : Cryptocurrency; Bitcoin; Ethereum; Sharpe ratio; Market index; Business and Economics;

    Abstract : This thesis will explore the role of cryptocurrencies in a market index portfolio. The portfolios of a mix of Bitcoin, Ether and the market indices S&P 500, OMXS30 and VTI will be examined and optimized to maximize the Sharpe ratio. READ MORE